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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Dow Jones Utilities as of Jan 01, 2016
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   24 16 24 26 26 25 26 24 25 30 23
Exceeded High   15 15 23 20 20 21 23 18 23 26 16
Scenario Percentage   63% 94% 96% 77% 77% 84% 88% 75% 92% 87% 70%
Avg Max Increase   4.19% 5.35% 5.41% 5.68% 5.85% 4.77% 4.81% 6.47% 5.75% 5.17% 4.42%
Max Increase   9.67% 11.96% 19.81% 14.30% 11.22% 9.82% 23.61% 13.93% 17.91% 12.12% 7.74%
Avg Days To Max Increase   14 18 14 18 20 17 16 21 15 19 21
Avg Max Decline   -1.20% -2.35% -0.97% -1.44% -1.46% -1.37% -1.11% -1.87% -1.37% -1.62% -1.20%
Max Decline   -3.05% -11.63% -2.45% -5.98% -3.93% -4.42% -3.65% -6.64% -7.26% -6.05% -3.44%
Avg Days to Max Decline   8 12 6 9 7 5 6 12 7 7 5
2015 Contract Condition   Yes       Yes   Yes   Yes Yes  
Action   No       No   Yes   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 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   20 29 20 19 19 20 19 20 19 15 22
Penetrated Low   13 19 12 14 11 12 14 14 12 7 9
Scenario Percentage   65% 66% 60% 74% 58% 60% 74% 70% 63% 47% 41%
Avg Max Decline   7.87% 6.82% 6.31% 4.78% 9.09% 9.46% 6.73% 7.15% 11.29% 5.96% 3.20%
Max Decline   21.92% 12.86% 20.22% 12.12% 35.33% 31.91% 17.96% 38.37% 31.31% 15.65% 4.72%
Avg Days To Max Decline   17 18 20 16 21 17 19 15 18 11 10
Avg Max Increase   -1.25% -1.40% -1.31% -1.62% -1.79% -2.14% -2.29% -1.30% -2.53% -1.01% -0.98%
Max Increase   -4.80% -3.95% -3.69% -4.26% -5.76% -5.43% -6.43% -3.25% -7.32% -2.36% -1.89%
Avg Days to Max Increase   4 10 7 4 8 14 11 8 8 2 3
2015 Contract Condition     Yes Yes Yes   Yes   Yes     Yes
Action     Yes No Yes   No   Yes     Yes
High 645.75 657.15 643.25 600.25 601.55 598.55 591.40 588.70 610.90 577.70 606.75 584.70
Low 587.45 611.80 588.65 565.35 579.65 570.40 548.90 549.65 555.45 539.95 565.75 551.80
Close/Last 618.10 637.20 594.15 587.10 586.65 587.00 550.30 583.95 562.00 576.85 580.50 563.15

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