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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, 2010
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 39 40 40 40 40 40 40 40 40 40 40
Closed Higher 25 23 26 23 22 18 19 18 14 27 28
Exceeded High 23 19 22 19 14 15 15 13 14 24 22
Scenario Percentage 92% 83% 85% 83% 64% 83% 79% 72% 100% 89% 79%
Avg Max Increase 8.16% 7.83% 10.26% 6.44% 9.00% 8.66% 8.71% 9.94% 10.04% 8.27% 4.98%
Max Increase 18.41% 19.90% 28.84% 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 13 16 18 18 16 15
Avg Max Decline -2.24% -1.96% -1.62% -2.29% -2.43% -2.25% -2.59% -2.10% -2.02% -2.27% -0.87%
Max Decline -7.66% -5.48% -4.33% -7.65% -6.65% -9.97% -9.09% -5.70% -5.56% -9.74% -2.36%
Avg Days to Max Decline 7 11 8 6 10 7 7 6 6 13 4
2009 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 39 40 40 40 40 40 40 40 40 40 40
Closed Lower 14 17 14 16 17 22 21 22 25 13 11
Penetrated Low 10 12 8 11 14 16 18 13 15 6 9
Scenario Percentage 71% 71% 57% 69% 82% 73% 86% 59% 60% 46% 82%
Avg Max Decline 10.63% 7.28% 10.20% 8.95% 7.10% 9.03% 9.90% 13.69% 13.25% 10.12% 11.96%
Max Decline 28.05% 14.61% 24.86% 23.72% 19.44% 24.93% 25.62% 36.57% 36.98% 25.14% 44.15%
Avg Days To Max Decline 15 14 24 21 20 16 18 18 17 14 9
Avg Max Increase -2.59% -1.97% -1.62% -2.36% -4.23% -2.86% -1.96% -2.27% -2.78% -3.41% -4.24%
Max Increase -9.17% -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 8 7 7 10 8 5 12 6 14 8
2009 Contract Condition Yes Yes               Yes  
Action Yes Yes               Yes  
High 3737.00 3238.00 2866.00 3228.00 3458.00 3434.00 3614.00 3819.00 4056.00 4066.00 4060.00
Low 2921.00 2457.00 2134.00 2622.00 2972.00 3041.00 2989.00 3561.00 3572.00 3591.00 3546.00
Close/Last 2966.00 2499.00 2684.00 3144.00 3202.00 3235.00 3580.00 3667.00 3800.00 3613.00 3938.00

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