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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Dow Jones Transportation as of Sep 25, 2023
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   25 21 20 32 34 31 27 28 28 25 27
Exceeded High   20 17 19 29 30 29 24 23 23 21 17
Scenario Percentage   80% 81% 95% 91% 88% 94% 89% 82% 82% 84% 63%
Avg Max Increase   7.15% 8.42% 10.28% 8.11% 8.25% 8.99% 8.00% 8.11% 9.06% 7.02% 4.69%
Max Increase   20.58% 22.99% 28.74% 21.22% 25.56% 25.49% 18.41% 16.40% 28.84% 20.52% 12.55%
Avg Days To Max Increase   15 19 21 18 19 17 17 20 18 14 16
Avg Max Decline   -2.33% -2.50% -2.90% -2.18% -2.25% -1.84% -2.12% -1.78% -1.93% -2.53% -0.74%
Max Decline   -9.31% -8.42% -8.89% -9.74% -6.04% -4.67% -7.66% -5.48% -6.03% -10.41% -2.79%
Avg Days to Max Decline   7 11 10 12 13 8 9 8 8 6 3
2023 Contract Condition   Yes     Yes Yes   Yes Yes      
Action   Yes     Yes No   Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 24 25 13 10 14 18 17 17 20 18
Penetrated Low   17 12 13 7 8 6 12 12 10 13 14
Scenario Percentage   85% 50% 52% 54% 80% 43% 67% 71% 59% 65% 78%
Avg Max Decline   9.55% 14.73% 13.78% 9.92% 10.02% 13.23% 11.62% 9.40% 6.54% 7.09% 5.65%
Max Decline   25.62% 36.57% 36.98% 25.14% 20.96% 18.76% 38.67% 30.97% 11.18% 14.05% 10.66%
Avg Days To Max Decline   18 19 17 14 19 21 12 13 24 18 17
Avg Max Increase   -1.80% -2.52% -3.23% -4.05% -3.50% -2.05% -2.88% -1.94% -2.29% -2.37% -1.95%
Max Increase   -4.10% -5.56% -6.67% -8.38% -5.92% -5.02% -9.17% -4.17% -7.11% -4.64% -4.91%
Avg Days to Max Increase   8 12 9 16 12 5 7 5 15 7 3
2023 Contract Condition     Yes Yes     Yes     Yes Yes Yes
Action     Yes No     No     Yes No Not Yet
High 14616.00 14670.00 15301.00 14304.00 13742.00 14798.00 14688.00 14708.00 15888.00 15196.00 14578.00 14224.00
Low 12777.00 12748.00 13858.00 11946.00 12125.00 12895.00 13230.00 13256.00 14425.00 13491.00 13400.00 13612.00
Close/Last 13157.00 14609.00 13861.00 12058.00 13584.00 14649.00 13392.00 14648.00 14723.00 14439.00 14022.00 13710.00

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