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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, 2015
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 27 31 28 23 21 25 26 16 26 30
Exceeded High   27 26 27 25 20 18 21 21 14 23 22
Scenario Percentage   96% 96% 87% 89% 87% 86% 84% 81% 88% 88% 73%
Avg Max Increase   5.85% 5.76% 6.59% 4.63% 5.12% 4.89% 4.46% 4.21% 6.41% 6.12% 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 14 20 16 17 14 21 20 20
Avg Max Decline   -1.46% -1.41% -1.79% -1.43% -1.76% -1.72% -2.32% -2.27% -1.58% -2.00% -1.26%
Max Decline   -7.01% -5.49% -5.55% -5.22% -4.86% -4.42% -8.64% -7.27% -4.75% -7.49% -4.81%
Avg Days to Max Decline   8 10 10 6 13 10 11 12 6 11 5
2014 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 18 14 17 22 23 20 19 29 18 15
Penetrated Low   11 14 10 11 16 19 17 16 21 8 5
Scenario Percentage   65% 78% 71% 65% 73% 83% 85% 84% 72% 44% 33%
Avg Max Decline   7.33% 5.62% 4.05% 5.57% 6.03% 5.42% 7.71% 7.43% 8.49% 5.52% 4.40%
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   11 11 16 17 15 14 19 13 16 13 7
Avg Max Increase   -1.37% -1.65% -2.29% -2.00% -2.16% -2.07% -2.41% -2.90% -2.34% -3.02% -0.53%
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
2014 Contract Condition   Yes           Yes   Yes    
Action   Yes           Yes   Yes    
High 16588 16573 16399 16506 16632 16736 16978 17152 17154 17351 17396 17895
Low 15704 15618 15341 16047 16015 16341 16674 16563 16334 16934 15855 17278
Close/Last 16577 15699 16322 16458 16581 16717 16827 16563 17098 17043 17391 17828

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