MRCI's ScenarioSM Study

ScenarioSM Study for Dow Jones Transportation as of Jan 01, 2013
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		42	43	43	43	43	43	43	43	43	43	43
Closed Higher		26	25	29	25	22	19	20	18	15	30	31
Exceeded High		24	21	24	20	14	15	16	13	15	27	25
Scenario Percentage		92%	84%	83%	80%	64%	79%	80%	72%	100%	90%	81%
Avg Max Increase		7.88%	8.30%	10.03%	6.16%	9.00%	8.66%	8.43%	9.94%	10.01%	7.98%	4.89%
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	20	18	15	22	13	16	18	18	17	17
Avg Max Decline		-2.37%	-1.95%	-1.60%	-2.19%	-2.43%	-2.25%	-3.01%	-2.10%	-2.04%	-2.50%	-0.98%
Max Decline		-7.66%	-5.48%	-4.33%	-7.65%	-6.65%	-9.97%	-9.31%	-5.70%	-5.56%	-9.74%	-3.96%
Avg Days to Max Decline		8	11	8	6	10	7	8	6	6	13	4
2012 Contract Condition		Yes		Yes			Yes				Yes	Yes
Action		Yes		No			No				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		42	43	43	43	43	43	43	43	43	43	43
Closed Lower		16	18	14	17	20	24	23	25	27	13	11
Penetrated Low		12	13	8	12	17	18	20	15	17	6	7
Scenario Percentage		75%	72%	57%	71%	85%	75%	87%	60%	63%	46%	64%
Avg Max Decline		9.38%	6.92%	10.20%	8.90%	7.26%	9.46%	10.17%	13.07%	12.09%	10.12%	4.81%
Max Decline		28.05%	14.61%	24.86%	23.72%	19.44%	24.93%	25.62%	36.57%	36.98%	25.14%	7.43%
Avg Days To Max Decline		14	13	24	19	18	16	18	17	16	14	9
Avg Max Increase		-2.84%	-1.93%	-1.62%	-2.37%	-3.72%	-2.84%	-1.95%	-2.34%	-2.91%	-3.41%	-2.05%
Max Increase		-9.17%	-4.17%	-5.22%	-4.23%	-11.88%	-8.33%	-5.73%	-5.56%	-6.67%	-6.22%	-5.12%
Avg Days to Max Increase		6	7	7	6	9	7	7	11	8	14	3
2012 Contract Condition			Yes		Yes	Yes		Yes	Yes	Yes
Action			Yes		Yes	Yes		Yes	Yes	Yes
High	5077.00	5359.00	5384.00	5390.00	5334.00	5361.00	5290.00	5266.00	5224.00	5231.00	5193.00	5213.00
Low	4750.00	5004.00	5090.00	5029.00	5076.00	4865.00	4795.00	4912.00	4931.00	4871.00	4878.00	4838.00
Close/Last	5020.00	5319.00	5153.00	5253.00	5230.00	5075.00	5209.00	5088.00	5007.00	4893.00	5085.00	5119.00