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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Dow Jones Transportation as of Jun 30, 2022
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 27 29 27 28 20 24 21 20 31 34
Exceeded High   23 23 25 23 19 17 19 17 19 28 27
Scenario Percentage   88% 85% 86% 85% 68% 85% 79% 81% 95% 90% 79%
Avg Max Increase   7.98% 8.11% 9.30% 6.84% 8.36% 9.25% 7.27% 8.42% 10.28% 8.01% 4.43%
Max Increase   18.41% 16.40% 28.84% 20.52% 18.59% 24.03% 20.58% 22.99% 28.74% 21.22% 8.91%
Avg Days To Max Increase   17 20 18 13 21 15 15 19 21 17 16
Avg Max Decline   -2.21% -1.78% -1.87% -2.44% -2.49% -1.99% -2.30% -2.50% -2.90% -2.08% -1.04%
Max Decline   -7.66% -5.48% -6.03% -10.41% -6.65% -9.97% -9.31% -8.42% -8.89% -9.74% -3.96%
Avg Days to Max Decline   9 8 8 6 11 8 7 11 10 12 5
2022 Contract Condition       Yes                
Action       No                
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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 18 16 18 17 25 21 24 24 14 10
Penetrated Low   13 13 9 12 14 16 18 12 13 7 7
Scenario Percentage   68% 72% 56% 67% 82% 64% 86% 50% 54% 50% 70%
Avg Max Decline   10.79% 8.79% 6.47% 6.51% 5.70% 10.30% 9.43% 14.28% 13.78% 9.92% 4.61%
Max Decline   38.67% 30.97% 11.18% 10.71% 10.68% 24.93% 25.62% 36.57% 36.98% 25.14% 9.13%
Avg Days To Max Decline   12 12 24 18 17 18 18 19 17 14 12
Avg Max Increase   -2.96% -1.87% -2.44% -2.18% -2.87% -2.66% -1.75% -2.49% -3.23% -4.05% -2.75%
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   6 5 14 7 8 8 8 12 9 16 3
2022 Contract Condition   Yes Yes   Yes Yes Yes          
Action   Yes No   Yes Yes Not Yet          
High 16597.00 16622.00 15769.00 16729.00 16381.00 15554.00 14616.00          
Low 15423.00 14567.00 14134.00 14601.00 14272.00 13163.00 12777.00          
Close/Last 16478.00 15283.00 15268.00 16283.00 14865.00 14301.00 13157.00          

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