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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, 2018
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   26 28 30 25 25 21 22 18 18 32 33
Exceeded High   24 23 25 21 17 17 18 14 18 29 26
Scenario Percentage   92% 82% 83% 84% 68% 81% 82% 78% 100% 91% 79%
Avg Max Increase   8.00% 7.68% 9.22% 6.23% 8.39% 7.98% 6.96% 8.78% 10.04% 7.60% 4.56%
Max Increase   18.41% 16.40% 28.84% 13.17% 18.59% 21.17% 20.58% 22.99% 28.74% 21.22% 8.91%
Avg Days To Max Increase   16 19 18 15 22 14 16 19 20 18 17
Avg Max Decline   -2.28% -1.81% -2.04% -2.12% -2.42% -2.05% -2.83% -2.50% -2.72% -2.44% -1.09%
Max Decline   -7.66% -5.48% -6.03% -7.65% -6.65% -9.97% -9.31% -8.42% -8.89% -9.74% -3.96%
Avg Days to Max Decline   9 10 8 6 11 7 8 10 10 13 5
2017 Contract Condition   Yes Yes     Yes Yes   Yes Yes   Yes
Action   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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   19 17 15 20 19 24 23 27 26 13 11
Penetrated Low   14 13 9 14 16 16 20 15 15 6 8
Scenario Percentage   74% 76% 60% 70% 84% 67% 87% 56% 58% 46% 73%
Avg Max Decline   8.37% 6.92% 7.36% 7.40% 6.20% 10.21% 9.99% 13.07% 12.58% 9.03% 5.35%
Max Decline   28.05% 14.61% 14.59% 16.85% 10.68% 24.93% 25.62% 36.57% 36.98% 25.14% 9.13%
Avg Days To Max Decline   12 13 24 20 18 18 18 17 16 13 10
Avg Max Increase   -2.58% -1.93% -1.83% -2.30% -3.73% -3.09% -1.71% -2.34% -2.99% -3.33% -1.96%
Max Increase   -9.17% -4.17% -5.22% -4.23% -11.88% -8.33% -4.43% -5.56% -6.67% -6.22% -5.12%
Avg Days to Max Increase   5 7 12 6 10 9 7 11 8 14 2
2017 Contract Condition       Yes Yes     Yes     Yes  
Action       Yes Yes     Yes     Yes  
High 9490.00 9503.00 9566.00 9639.00 9318.00 9200.00 9606.00 9764.00 9448.00 9935.00 10081.00 10348.00
Low 8977.00 8980.00 9047.00 8798.00 8874.00 8744.00 9172.00 9147.00 9010.00 9237.00 9756.00 9420.00
Close/Last 9044.00 9192.00 9420.00 9117.00 9098.00 9164.00 9564.00 9183.00 9319.00 9914.00 9758.00 10275.00

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