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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Dow Jones Transportation as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 37 38 38 38 38 38 38 38 38 38 38
Closed Higher 24 23 24 21 20 17 17 16 13 27 27
Exceeded High 22 19 20 17 13 14 13 12 13 24 21
Scenario Percentage 92% 83% 83% 81% 65% 82% 76% 75% 100% 89% 78%
Avg Max Increase 8.36% 7.83% 9.06% 6.19% 8.70% 7.98% 8.69% 9.86% 10.28% 8.27% 4.88%
Max Increase 18.41% 19.90% 17.50% 13.17% 18.59% 21.17% 20.58% 22.99% 28.74% 21.22% 13.73%
Avg Days To Max Increase 16 19 18 16 22 12 16 18 18 16 15
Avg Max Decline -1.99% -1.96% -1.66% -2.42% -2.11% -1.87% -2.65% -2.06% -1.89% -2.27% -0.91%
Max Decline -6.90% -5.48% -4.33% -7.65% -6.06% -9.97% -9.09% -5.70% -5.56% -9.74% -2.36%
Avg Days to Max Decline 6 11 8 6 8 7 7 6 7 13 4
2007 Contract Condition Yes     Yes Yes         Yes  
Action Yes     Yes Yes         No  
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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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 37 38 38 38 38 38 38 38 38 38 38
Closed Lower 13 15 14 16 17 21 21 22 24 11 10
Penetrated Low 9 10 8 11 14 15 18 13 14 4 9
Scenario Percentage 69% 67% 57% 69% 82% 71% 86% 59% 58% 36% 90%
Avg Max Decline 8.69% 6.66% 10.20% 8.95% 7.10% 9.12% 9.90% 13.69% 11.55% 8.44% 11.96%
Max Decline 13.24% 13.11% 24.86% 23.72% 19.44% 24.93% 25.62% 36.57% 35.78% 13.72% 44.15%
Avg Days To Max Decline 15 15 24 21 20 17 18 18 17 16 9
Avg Max Increase -1.86% -2.33% -1.62% -2.36% -4.23% -3.04% -1.96% -2.27% -2.97% -3.44% -4.24%
Max Increase -5.74% -4.17% -5.22% -4.23% -11.88% -8.33% -5.73% -5.56% -6.67% -6.22% -14.76%
Avg Days to Max Increase 5 9 7 7 10 8 5 12 7 20 8
2007 Contract Condition   Yes Yes     Yes Yes Yes Yes   Yes
Action   Yes No     Yes Yes No Yes   No
High 4921.00 5211.00 4979.00 5255.00 5308.00 5348.00 5487.00 5125.00 4964.00 5023.00 4907.00
Low 4565.00 4830.00 4614.00 4786.00 5005.00 4992.00 5017.00 4487.00 4650.00 4755.00 4346.00
Close/Last 4917.00 4864.00 4811.00 5037.00 5293.00 5099.00 5030.00 4879.00 4836.00 4908.00 4661.00

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