|
MRCI's ScenarioSM Study |
ScenarioSM Study for Dow Jones Utilities as of Apr 30, 2011 |
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 |
|
40 |
40 |
40 |
40 |
40 |
40 |
40 |
41 |
41 |
41 |
41 |
Closed Higher |
|
23 |
22 |
21 |
24 |
23 |
28 |
20 |
13 |
22 |
22 |
24 |
Exceeded High |
|
21 |
15 |
19 |
23 |
19 |
21 |
12 |
12 |
20 |
17 |
17 |
Scenario Percentage |
|
91% |
68% |
90% |
96% |
83% |
75% |
60% |
92% |
91% |
77% |
71% |
Avg Max Increase |
|
5.04% |
6.55% |
6.05% |
5.38% |
6.45% |
6.87% |
3.91% |
4.76% |
5.52% |
6.02% |
4.29% |
Max Increase |
|
23.61% |
13.93% |
17.91% |
12.72% |
13.75% |
20.87% |
9.67% |
11.03% |
19.81% |
14.30% |
10.53% |
Avg Days To Max Increase |
|
17 |
19 |
14 |
18 |
21 |
14 |
12 |
13 |
13 |
18 |
19 |
Avg Max Decline |
|
-1.19% |
-1.63% |
-1.46% |
-1.49% |
-2.05% |
-1.36% |
-1.18% |
-2.25% |
-0.92% |
-1.27% |
-1.13% |
Max Decline |
|
-3.65% |
-6.64% |
-7.26% |
-4.75% |
-6.33% |
-3.78% |
-3.05% |
-11.63% |
-2.45% |
-5.98% |
-3.93% |
Avg Days to Max Decline |
|
6 |
10 |
8 |
7 |
9 |
5 |
8 |
10 |
6 |
7 |
4 |
2011 Contract Condition |
|
Yes |
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
|
Action |
|
Yes |
Yes |
Yes |
No |
|
Yes |
Yes |
Yes |
|
Yes |
|
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 |
|
40 |
40 |
40 |
40 |
40 |
40 |
40 |
41 |
41 |
41 |
41 |
Closed Lower |
|
17 |
17 |
18 |
16 |
17 |
12 |
19 |
28 |
18 |
19 |
17 |
Penetrated Low |
|
12 |
11 |
12 |
7 |
10 |
9 |
13 |
18 |
12 |
14 |
10 |
Scenario Percentage |
|
71% |
65% |
67% |
44% |
59% |
75% |
68% |
64% |
67% |
74% |
59% |
Avg Max Decline |
|
6.67% |
8.52% |
11.10% |
5.96% |
5.67% |
6.87% |
7.87% |
6.93% |
6.31% |
5.19% |
5.85% |
Max Decline |
|
17.96% |
38.37% |
31.31% |
15.65% |
14.90% |
14.13% |
21.92% |
12.86% |
20.22% |
12.20% |
11.27% |
Avg Days To Max Decline |
|
20 |
18 |
20 |
11 |
13 |
20 |
17 |
18 |
20 |
16 |
22 |
Avg Max Increase |
|
-2.50% |
-1.56% |
-2.52% |
-1.01% |
-2.16% |
-2.30% |
-1.25% |
-1.48% |
-1.31% |
-1.53% |
-1.44% |
Max Increase |
|
-6.43% |
-3.25% |
-7.32% |
-2.36% |
-7.55% |
-4.92% |
-4.80% |
-3.95% |
-3.69% |
-4.26% |
-4.09% |
Avg Days to Max Increase |
|
13 |
10 |
8 |
2 |
11 |
6 |
4 |
10 |
7 |
4 |
4 |
2011 Contract Condition |
|
|
|
|
|
Yes |
|
|
|
Yes |
|
Yes |
Action |
|
|
|
|
|
No |
|
|
|
Not Yet |
|
|
High |
386.45 |
395.60 |
399.00 |
402.40 |
413.75 |
410.00 |
407.30 |
416.45 |
417.10 |
422.45 |
429.40 |
431.05 |
Low |
352.70 |
353.55 |
381.45 |
389.05 |
397.05 |
387.90 |
391.70 |
402.75 |
406.80 |
394.10 |
406.00 |
428.00 |
Close/Last |
357.75 |
385.55 |
388.95 |
398.25 |
404.85 |
391.40 |
405.00 |
409.35 |
415.60 |
413.05 |
429.05 |
428.55 |
|
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