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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Dow Jones Transportation as of May 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   39 39 39 39 40 40 40 40 40 40 40
Closed Higher   27 27 27 25 23 26 23 22 18 19 18
Exceeded High   24 24 25 23 19 22 19 14 15 15 11
Scenario Percentage   89% 89% 93% 92% 83% 85% 83% 64% 83% 79% 61%
Avg Max Increase   8.37% 9.43% 10.09% 8.16% 7.83% 10.26% 6.44% 9.00% 8.66% 8.61% 6.46%
Max Increase   21.22% 26.14% 25.49% 18.41% 19.90% 28.84% 13.17% 18.59% 21.17% 20.58% 11.59%
Avg Days To Max Increase   16 19 15 17 19 18 16 22 13 15 16
Avg Max Decline   -2.27% -2.39% -2.08% -2.24% -1.96% -1.62% -2.29% -2.43% -2.25% -2.59% -1.67%
Max Decline   -9.74% -6.04% -5.99% -7.66% -5.48% -4.33% -7.65% -6.65% -9.97% -9.09% -5.70%
Avg Days to Max Decline   13 14 7 7 11 8 6 10 7 7 3
2010 Contract Condition     Yes Yes   Yes Yes Yes        
Action     Yes Yes   Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   39 39 39 39 40 40 40 40 40 40 40
Closed Lower   12 11 12 14 17 14 16 17 22 21 22
Penetrated Low   5 8 6 10 12 8 11 14 16 18 12
Scenario Percentage   42% 73% 50% 71% 71% 57% 69% 82% 73% 86% 55%
Avg Max Decline   11.78% 8.03% 13.42% 10.63% 7.28% 10.20% 8.95% 7.10% 9.03% 9.90% 9.24%
Max Decline   25.14% 13.47% 18.76% 28.05% 14.61% 24.86% 23.72% 19.44% 24.93% 25.62% 30.96%
Avg Days To Max Decline   17 15 23 15 14 24 21 20 16 18 21
Avg Max Increase   -3.83% -2.88% -2.45% -2.59% -1.97% -1.62% -2.36% -4.23% -2.86% -1.96% -1.69%
Max Increase   -6.22% -5.92% -5.02% -9.17% -4.17% -5.22% -4.23% -11.88% -8.33% -5.73% -2.79%
Avg Days to Max Increase   17 9 4 5 8 7 7 10 8 5 4
2010 Contract Condition   Yes     Yes       Yes Yes    
Action   Yes     Yes       Not Yet      
High 4056.00 4066.00 4060.00 4214.00 4266.00 4144.00 4439.00 4813.00 4808.00 4358.00    
Low 3572.00 3591.00 3546.00 3939.00 3895.00 3742.00 4129.00 4357.00 4046.00 4231.00    
Close/Last 3800.00 3613.00 3938.00 4100.00 3896.00 4135.00 4375.00 4671.00 4336.00 4233.00    

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