|
 |
| 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 |
|
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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|
