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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 20, 2012
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 41 42 42 42 42 42 42 42 42 42 42
Closed Higher   25 25 28 25 23 18 20 18 16 29 31
Exceeded High   23 22 24 20 15 15 16 13 16 26 24
Scenario Percentage   92% 88% 86% 80% 65% 83% 80% 72% 100% 90% 77%
Avg Max Increase   8.17% 8.02% 10.02% 6.18% 9.01% 8.68% 8.43% 9.95% 9.51% 8.07% 4.88%
Max Increase   18.44% 19.65% 28.84% 13.13% 18.46% 21.28% 20.57% 23.10% 28.84% 21.24% 13.43%
Avg Days To Max Increase   17 19 18 15 22 14 17 18 18 17 18
Avg Max Decline   -2.24% -1.97% -1.63% -2.17% -2.38% -2.23% -2.97% -2.05% -2.44% -2.44% -0.97%
Max Decline   -7.65% -5.47% -4.23% -7.63% -6.67% -9.86% -9.32% -5.74% -8.35% -9.73% -3.96%
Avg Days to Max Decline   7 10 8 6 12 7 8 6 7 13 5
2011 Contract Condition     Yes Yes Yes           Yes Yes
Action     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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 41 42 42 42 42 42 42 42 42 42 42
Closed Lower   16 17 14 17 19 24 22 24 26 13 11
Penetrated Low   12 12 8 12 16 18 19 14 16 7 7
Scenario Percentage   75% 71% 57% 71% 84% 75% 86% 58% 62% 54% 64%
Avg Max Decline   9.34% 7.36% 10.21% 9.18% 7.40% 9.42% 10.45% 13.78% 12.80% 8.85% 4.89%
Max Decline   28.04% 14.60% 24.84% 24.23% 19.86% 24.90% 25.67% 36.58% 36.97% 25.13% 7.89%
Avg Days To Max Decline   14 14 24 21 19 16 18 17 17 12 9
Avg Max Increase   -2.89% -1.93% -1.63% -2.34% -3.96% -2.86% -1.93% -2.16% -2.66% -3.02% -2.00%
Max Increase   -9.19% -4.12% -5.28% -4.37% -11.81% -8.26% -5.77% -5.57% -6.66% -6.23% -5.12%
Avg Days to Max Increase   6 7 8 8 10 7 5 9 7 13 3
2011 Contract Condition   Yes       Yes Yes Yes Yes Yes    
Action   Yes       Yes Yes Yes Yes Yes    
High 5123.50 5256.80 5306.70 5328.40 5551.30 5565.80 5475.40 5627.90 5237.40 4720.60 5067.70 5009.10
Low 4861.70 4988.70 4917.70 4906.60 5175.00 5311.00 5043.20 5086.50 4205.10 4095.80 3950.70 4531.80
Close/Last 5106.80 5025.10 5084.90 5299.90 5514.90 5469.60 5423.80 5184.10 4667.00 4189.40 4892.60 4946.20

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