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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, 2014
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   29 26 31 28 22 20 25 26 16 26 29
Exceeded High   27 25 27 25 19 17 21 21 14 23 21
Scenario Percentage   93% 96% 87% 89% 86% 85% 84% 81% 88% 88% 72%
Avg Max Increase   5.85% 5.92% 6.69% 4.63% 5.25% 5.06% 4.46% 4.30% 6.41% 6.02% 3.31%
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 14 20 15 17 14 21 19 19
Avg Max Decline   -1.46% -1.40% -1.79% -1.40% -1.84% -1.65% -2.32% -2.17% -1.58% -1.99% -1.12%
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 14 9 11 12 6 10 5
2013 Contract Condition   Yes Yes Yes Yes Yes   Yes   Yes Yes Yes
Action   Yes 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   16 19 14 17 23 24 20 19 29 18 16
Penetrated Low   10 14 10 11 17 20 16 16 21 8 6
Scenario Percentage   63% 74% 71% 65% 74% 83% 80% 84% 72% 44% 38%
Avg Max Decline   7.83% 5.62% 4.05% 5.57% 6.61% 5.64% 8.10% 7.43% 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 11 16 17 16 15 20 13 15 13 9
Avg Max Increase   -1.50% -1.65% -2.29% -2.00% -2.04% -2.09% -2.55% -2.90% -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 8 10 9 12 6 4 2
2013 Contract Condition             Yes   Yes      
Action             No   Yes      
High 13366 13970 14149 14585 14888 15542 15340 15634 15658 15710 15721 16175
Low 12884 13104 13784 13938 14434 14687 14551 14859 14760 14777 14719 15522
Close/Last 13104 13861 14054 14579 14840 15116 14910 15500 14810 15130 15546 16086

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