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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, 2018
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   25 18 24 27 28 25 27 24 26 30 23
Exceeded High   17 17 24 21 22 21 24 18 23 25 16
Scenario Percentage   68% 94% 100% 78% 79% 84% 89% 75% 88% 83% 70%
Avg Max Increase   4.62% 5.30% 5.21% 5.64% 5.84% 4.73% 4.77% 6.22% 5.75% 5.03% 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   16 17 14 18 19 16 16 19 15 18 21
Avg Max Decline   -1.23% -2.34% -1.16% -1.46% -1.41% -1.39% -1.09% -1.79% -1.37% -1.56% -1.20%
Max Decline   -3.05% -11.63% -5.66% -5.98% -3.93% -4.42% -3.65% -6.64% -7.26% -6.05% -3.44%
Avg Days to Max Decline   8 11 6 9 7 5 6 11 7 7 5
2017 Contract Condition   Yes Yes   Yes Yes   Yes Yes   Yes Yes
Action   Yes Yes   Yes Yes   Yes Yes   Yes Not Yet
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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 27 20 18 17 20 18 20 19 15 22
Penetrated Low   12 17 11 12 9 13 14 14 11 7 9
Scenario Percentage   63% 63% 55% 67% 53% 65% 78% 70% 58% 47% 41%
Avg Max Decline   8.09% 7.25% 6.47% 4.66% 10.54% 8.83% 6.88% 7.26% 12.17% 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 17 20 16 22 16 17 13 18 11 10
Avg Max Increase   -1.31% -1.15% -1.38% -1.76% -2.06% -2.01% -2.17% -1.45% -2.10% -1.01% -0.98%
Max Increase   -4.80% -3.23% -3.69% -4.26% -5.76% -5.43% -6.43% -4.76% -6.99% -2.36% -1.89%
Avg Days to Max Increase   4 9 8 4 9 13 10 10 8 2 3
2017 Contract Condition       Yes     Yes     Yes    
Action       No     Yes     No    
High 665.95 669.10 704.95 710.00 711.45 729.00 738.80 728.05 750.30 755.35 755.00 778.80
Low 622.90 648.35 654.15 683.45 691.10 691.40 704.55 697.75 722.95 716.60 718.95 746.55
Close/Last 659.60 668.85 703.15 697.30 704.35 726.60 706.90 726.50 743.25 723.60 753.20 770.40

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