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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Dow Jones Transportation as of Jan 01, 2014
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   43 44 44 44 44 44 44 44 44 44 44
Closed Higher   27 26 30 25 23 19 21 18 16 31 32
Exceeded High   25 22 25 20 15 15 17 13 16 28 26
Scenario Percentage   93% 85% 83% 80% 65% 79% 81% 72% 100% 90% 81%
Avg Max Increase   7.90% 8.15% 9.83% 6.16% 8.74% 8.66% 8.20% 9.94% 10.05% 7.90% 4.78%
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 17 18 18 17 17
Avg Max Decline   -2.29% -1.91% -1.78% -2.19% -2.63% -2.25% -3.04% -2.10% -2.08% -2.43% -1.05%
Max Decline   -7.66% -5.48% -6.03% -7.65% -6.65% -9.97% -9.31% -5.70% -5.56% -9.74% -3.96%
Avg Days to Max Decline   9 10 8 6 11 7 9 6 6 13 5
2013 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   43 44 44 44 44 44 44 44 44 44 44
Closed Lower   16 18 14 18 20 25 23 26 27 13 11
Penetrated Low   12 13 8 12 17 18 20 15 17 6 7
Scenario Percentage   75% 72% 57% 67% 85% 72% 87% 58% 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
2013 Contract Condition         Yes   Yes   Yes      
Action         No   No   No      
High 5358.00 5885.00 6035.00 6292.00 6264.00 6568.00 6398.00 6609.00 6687.00 6755.00 7065.00 7274.00
Low 5042.00 5308.00 5789.00 5923.00 5878.00 6030.00 5952.00 6170.00 6237.00 6240.00 6402.00 6936.00
Close/Last 5307.00 5804.00 5993.00 6255.00 6178.00 6290.00 6174.00 6462.00 6250.00 6582.00 6975.00 7236.00

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