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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Dow Jones Transportation as of Aug 05, 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
2020 Contract Condition         Yes Yes Yes Yes Yes      
Action         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   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
2020 Contract Condition   Yes Yes Yes                
Action   Yes Yes No                
High 10978.00 11359.00 11072.00 9696.00 8697.00 9187.00 10096.00 10034.00 10234.00      
Low 10456.00 10534.00 9129.00 6481.00 7210.00 7505.00 8728.00 9101.00 9954.00      
Close/Last 10901.00 10567.00 9388.00 7732.00 8377.00 8970.00 9173.00 9995.00 10215.00      

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