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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Dow Jones Transportation as of Apr 30, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   40 40 40 40 40 40 40 41 41 41 41
Closed Higher   19 18 14 27 28 28 25 24 27 24 22
Exceeded High   15 13 14 24 25 26 23 20 23 19 13
Scenario Percentage   79% 72% 100% 89% 89% 93% 92% 83% 85% 79% 59%
Avg Max Increase   8.71% 9.94% 10.04% 8.37% 9.39% 9.86% 8.16% 8.26% 10.25% 6.39% 4.43%
Max Increase   20.58% 22.99% 28.74% 21.22% 26.14% 25.49% 18.41% 19.90% 28.84% 13.17% 9.81%
Avg Days To Max Increase   16 18 18 16 19 15 17 19 18 15 16
Avg Max Decline   -2.59% -2.10% -2.02% -2.27% -2.29% -2.00% -2.24% -1.87% -1.57% -2.29% -0.81%
Max Decline   -9.09% -5.70% -5.56% -9.74% -6.04% -5.99% -7.66% -5.48% -4.33% -7.65% -2.79%
Avg Days to Max Decline   7 6 6 13 14 7 7 10 7 6 4
2011 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   40 40 40 40 40 40 40 41 41 41 41
Closed Lower   21 22 25 13 11 12 15 17 14 16 18
Penetrated Low   18 13 15 6 8 6 11 12 8 11 14
Scenario Percentage   86% 59% 60% 46% 73% 50% 73% 71% 57% 69% 78%
Avg Max Decline   9.90% 13.69% 13.25% 10.12% 8.03% 13.42% 10.02% 7.28% 10.20% 8.89% 6.22%
Max Decline   25.62% 36.57% 36.98% 25.14% 13.47% 18.76% 28.05% 14.61% 24.86% 23.08% 16.67%
Avg Days To Max Decline   18 18 17 14 15 23 14 14 24 21 21
Avg Max Increase   -1.96% -2.27% -2.78% -3.41% -2.88% -2.45% -2.59% -1.97% -1.62% -2.36% -2.77%
Max Increase   -5.73% -5.56% -6.67% -6.22% -5.92% -5.02% -9.17% -4.17% -5.22% -4.23% -4.91%
Avg Days to Max Increase   5 12 6 14 9 4 5 8 7 7 4
2011 Contract Condition     Yes         Yes       Yes
Action     No         Yes        
High 4514.00 4515.00 4525.00 4614.00 4824.00 4957.00 5124.00 5257.00 5307.00 5328.00 5551.00 5566.00
Low 3983.00 3873.00 4011.00 4122.00 4418.00 4723.00 4862.00 4989.00 4918.00 4907.00 5175.00 5495.00
Close/Last 4008.00 4423.00 4123.00 4522.00 4754.00 4856.00 5107.00 5025.00 5085.00 5300.00 5515.00 5508.00

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