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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, 2009
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   38 39 39 39 39 39 39 39 39 39 39
Closed Higher   25 23 25 22 21 17 18 17 13 27 27
Exceeded High   23 19 21 18 13 14 14 12 13 24 21
Scenario Percentage   92% 83% 84% 82% 62% 82% 78% 71% 100% 89% 78%
Avg Max Increase   8.16% 7.83% 9.37% 6.24% 8.70% 7.98% 8.38% 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   17 19 18 16 22 12 15 18 18 16 15
Avg Max Decline   -2.24% -1.96% -1.59% -2.30% -2.11% -1.87% -2.74% -2.06% -1.89% -2.27% -0.91%
Max Decline   -7.66% -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   7 11 8 7 8 7 6 6 7 13 4
2008 Contract Condition   Yes   Yes Yes Yes   Yes Yes      
Action   Yes   Yes Yes No   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   38 39 39 39 39 39 39 39 39 39 39
Closed Lower   13 16 14 16 17 22 21 22 25 12 11
Penetrated Low   9 11 8 11 14 16 18 13 15 5 7
Scenario Percentage   69% 69% 57% 69% 82% 73% 86% 59% 60% 42% 64%
Avg Max Decline   8.69% 6.62% 10.20% 8.95% 7.10% 9.03% 9.90% 13.69% 13.25% 11.78% 4.81%
Max Decline   13.24% 13.11% 24.86% 23.72% 19.44% 24.93% 25.62% 36.57% 36.98% 25.14% 7.43%
Avg Days To Max Decline   15 14 24 21 20 16 18 18 17 17 9
Avg Max Increase   -1.86% -2.15% -1.62% -2.36% -4.23% -2.86% -1.96% -2.27% -2.78% -3.83% -2.05%
Max Increase   -5.74% -4.17% -5.22% -4.23% -11.88% -8.33% -5.73% -5.56% -6.67% -6.22% -5.12%
Avg Days to Max Increase   5 9 7 7 10 8 5 12 6 17 3
2008 Contract Condition     Yes       Yes     Yes Yes Yes
Action     Yes       Yes     Yes Yes Not Yet
High 4937.00 4797.00 4829.00 4933.00 5269.00 5537.00 5493.00 5195.00 5293.00 5259.00 4624.00 4094.00
Low 4513.00 4033.00 4537.00 4388.00 4779.00 5121.00 4847.00 4571.00 4860.00 4441.00 3283.00 2909.00
Close/Last 4571.00 4752.00 4551.00 4784.00 5168.00 5438.00 4948.00 5072.00 5103.00 4616.00 3886.00 3512.00

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