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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for DJIA Index as of Jan 01, 2013
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   28 25 30 28 21 20 24 27 16 26 29
Exceeded High   26 24 26 25 18 17 20 22 14 23 21
Scenario Percentage   93% 96% 87% 89% 86% 85% 83% 81% 88% 88% 72%
Avg Max Increase   5.87% 5.92% 6.69% 4.55% 5.35% 5.06% 4.61% 4.50% 6.33% 5.94% 3.23%
Max Increase   17.19% 12.99% 14.40% 11.78% 12.99% 13.15% 8.35% 16.09% 19.66% 13.83% 6.80%
Avg Days To Max Increase   16 18 19 13 19 15 17 14 21 18 18
Avg Max Decline   -1.50% -1.43% -1.82% -1.40% -1.73% -1.65% -2.20% -2.08% -1.41% -2.06% -1.05%
Max Decline   -7.01% -5.49% -5.55% -5.22% -4.86% -4.42% -8.64% -6.47% -4.75% -7.49% -4.81%
Avg Days to Max Decline   8 10 11 5 13 9 10 11 6 9 4
2012 Contract Condition   Yes Yes Yes Yes   Yes Yes Yes Yes    
Action   Yes Yes Yes Yes   Yes Yes Yes Yes    
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   17 20 15 17 24 24 21 18 29 18 16
Penetrated Low   11 15 10 11 18 21 17 15 21 8 6
Scenario Percentage   65% 75% 67% 65% 75% 88% 81% 83% 72% 44% 38%
Avg Max Decline   7.51% 5.46% 4.05% 5.57% 6.38% 5.55% 7.76% 7.89% 8.27% 5.52% 4.65%
Max Decline   19.14% 14.52% 7.99% 14.81% 24.10% 18.50% 20.87% 18.97% 37.75% 20.12% 7.92%
Avg Days To Max Decline   12 12 16 17 17 15 19 14 15 13 9
Avg Max Increase   -1.54% -1.61% -2.29% -2.00% -2.14% -2.18% -2.46% -2.69% -2.37% -3.02% -0.52%
Max Increase   -3.92% -4.03% -6.39% -4.78% -7.98% -5.83% -8.56% -7.37% -5.90% -9.20% -1.64%
Avg Days to Max Increase   8 6 10 6 10 10 8 12 6 4 2
2012 Contract Condition           Yes         Yes Yes
Action           Yes         Yes Not Yet
High 12328 12842 13056 13289 13297 13339 12899 13129 13331 13653 13662 13291
Low 11735 12221 12633 12735 12711 12312 12035 12492 12779 12977 13040 12471
Close/Last 12218 12633 12952 13212 13214 12393 12880 13009 13091 13437 13096 13026

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