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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, 2016
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 30 29 24 21 25 25 16 27 30
Exceeded High   27 26 27 26 20 18 20 20 14 24 21
Scenario Percentage   96% 96% 90% 90% 83% 86% 80% 80% 88% 89% 70%
Avg Max Increase   5.85% 5.67% 6.59% 4.56% 5.12% 4.89% 4.38% 4.25% 6.41% 5.94% 3.06%
Max Increase   17.19% 12.99% 14.40% 11.78% 12.99% 13.15% 8.35% 16.09% 19.66% 13.83% 6.35%
Avg Days To Max Increase   16 17 19 15 20 16 17 14 21 19 19
Avg Max Decline   -1.46% -1.32% -1.79% -1.40% -1.76% -1.72% -2.22% -2.23% -1.58% -1.92% -1.28%
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 9 10 6 13 10 11 12 6 11 5
2015 Contract Condition     Yes   Yes Yes   Yes     Yes Yes
Action     Yes   Yes No   No     Yes Not Yet
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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 15 16 21 23 20 20 29 17 15
Penetrated Low   12 14 10 10 16 19 17 16 21 8 5
Scenario Percentage   71% 78% 67% 63% 76% 83% 85% 80% 72% 47% 33%
Avg Max Decline   6.78% 5.62% 4.05% 4.65% 6.03% 5.95% 7.71% 7.43% 8.49% 5.52% 4.40%
Max Decline   19.14% 14.52% 7.99% 10.25% 24.10% 18.50% 20.87% 18.97% 37.75% 20.12% 7.92%
Avg Days To Max Decline   10 11 16 16 15 15 19 13 16 13 7
Avg Max Increase   -1.36% -1.65% -2.29% -2.13% -2.16% -2.13% -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   7 6 10 6 8 11 9 12 6 4 2
2015 Contract Condition   Yes   Yes     Yes   Yes Yes    
Action   Yes   No     Yes   No No    
High 18103 17952 18244 18289 18176 18351 18189 18137 17705 16933 17800 17978
Low 17068 17136 17038 17579 17585 17733 17577 17399 15370 15942 16014 17210
Close/Last 17823 17165 18133 17776 17841 18011 17620 17690 16528 16285 17664 17720

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