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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for DJIA Index as of Dec 30, 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
2016 Contract Condition     Yes Yes Yes Yes Yes Yes       Yes
Action     Yes Yes No 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 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
2016 Contract Condition   Yes             Yes Yes Yes  
Action   No             Yes Yes Yes  
High 17902 17405 16796 17790 18168 17935 18016 18622 18668 18552 18400 19225
Low 17117 15451 15503 16546 17484 17331 17063 17713 18248 17992 17960 17884
Close/Last 17425 16466 16517 17685 17774 17787 17930 18432 18401 18308 18142 19124

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