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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, 2019
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   27 28 30 26 26 21 22 19 18 31 34
Exceeded High   24 23 26 22 18 17 18 15 17 28 27
Scenario Percentage   89% 82% 87% 85% 69% 81% 82% 79% 94% 90% 79%
Avg Max Increase   8.00% 7.68% 9.08% 6.26% 8.13% 7.98% 6.73% 8.39% 10.20% 7.59% 4.47%
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 19 15 22 14 15 19 21 18 16
Avg Max Decline   -2.28% -1.81% -2.10% -2.18% -2.57% -2.05% -2.40% -2.36% -2.71% -2.19% -1.05%
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 12 7 7 10 9 12 5
2018 Contract Condition   Yes   Yes Yes Yes   Yes Yes Yes   Yes
Action   No   Yes Yes Yes   Yes Yes No   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   18 17 15 19 18 24 23 26 26 14 10
Penetrated Low   13 12 9 13 15 15 20 15 15 7 7
Scenario Percentage   72% 71% 60% 68% 83% 63% 87% 58% 58% 50% 70%
Avg Max Decline   8.27% 6.94% 7.36% 6.68% 6.20% 10.63% 9.99% 13.07% 12.58% 9.92% 5.29%
Max Decline   28.05% 14.61% 14.59% 10.71% 10.68% 24.93% 25.62% 36.57% 36.98% 25.14% 9.13%
Avg Days To Max Decline   11 12 24 19 18 18 18 17 16 14 11
Avg Max Increase   -2.59% -1.75% -1.83% -2.23% -3.69% -2.75% -1.71% -2.34% -2.99% -4.05% -2.16%
Max Increase   -9.17% -4.17% -5.22% -4.23% -11.88% -7.61% -4.43% -5.56% -6.67% -8.38% -5.12%
Avg Days to Max Increase   5 5 12 6 10 8 7 11 8 16 2
2018 Contract Condition     Yes       Yes       Yes  
Action     No       No       Yes  
High 10740.00 11424.00 10999.00 10838.00 10839.00 10967.00 11128.00 11144.00 11476.00 11624.00 11494.00 10835.00
Low 10012.00 10653.00 9807.00 10109.00 10037.00 10081.00 10192.00 10291.00 10925.00 11253.00 9758.00 10174.00
Close/Last 10612.00 10972.00 10382.00 10397.00 10424.00 10750.00 10345.00 11077.00 11304.00 11379.00 10191.00 10820.00

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