MRCI's ScenarioSM Study

ScenarioSM Study for Dow Jones Transportation as of Jun 08, 2020
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		28	28	30	27	26	21	23	19	19	31	35
Exceeded High		25	24	26	22	18	18	18	15	18	28	27
Scenario Percentage		89%	86%	87%	81%	69%	86%	78%	79%	95%	90%	77%
Avg Max Increase		7.92%	7.63%	9.08%	6.26%	8.13%	7.76%	6.73%	8.39%	10.09%	7.72%	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		17	20	19	15	22	14	15	19	20	18	16
Avg Max Decline		-2.20%	-1.93%	-2.10%	-2.18%	-2.57%	-2.04%	-2.40%	-2.36%	-2.91%	-2.09%	-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
2019 Contract Condition		Yes	Yes		Yes		Yes	Yes		Yes	Yes	Yes
Action		Yes	Yes		No		Yes	No		Yes	Yes	Not Yet

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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		17	17	15	18	18	24	22	26	25	14	9
Penetrated Low		12	12	9	12	15	15	19	14	14	7	6
Scenario Percentage		71%	71%	60%	67%	83%	63%	86%	54%	56%	50%	67%
Avg Max Decline		8.47%	6.94%	6.47%	6.51%	5.72%	10.63%	9.42%	13.14%	13.26%	9.92%	4.94%
Max Decline		28.05%	14.61%	11.18%	10.71%	10.68%	24.93%	25.62%	36.57%	36.98%	25.14%	9.13%
Avg Days To Max Decline		11	12	24	18	17	18	19	18	16	14	11
Avg Max Increase		-2.80%	-1.75%	-2.44%	-2.18%	-3.00%	-2.75%	-1.57%	-2.41%	-3.03%	-4.05%	-2.41%
Max Increase		-9.17%	-4.17%	-7.11%	-4.23%	-8.28%	-7.61%	-4.10%	-5.56%	-6.67%	-8.38%	-5.12%
Avg Days to Max Increase		5	5	14	7	10	8	7	12	9	16	3
2019 Contract Condition				Yes		Yes			Yes
Action				Yes		Yes			No
High	11045.00	10122.00	10679.00	10564.00	11148.00	10986.00	10493.00	10876.00	10711.00	10857.00	10959.00	11227.00
Low	8637.00	8850.00	10047.00	9983.00	10433.00	9722.00	9715.00	10260.00	9676.00	9910.00	9708.00	10523.00
Close/Last	9170.00	10059.00	10467.00	10408.00	10847.00	9738.00	10462.00	10702.00	10127.00	10364.00	10499.00	10858.00