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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, 2019
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 25 28 28 26 28 25 25 31 24
Exceeded High   17 17 25 22 22 22 25 19 23 26 17
Scenario Percentage   68% 94% 100% 79% 79% 85% 89% 76% 92% 84% 71%
Avg Max Increase   4.62% 5.30% 5.11% 5.46% 5.84% 4.75% 4.71% 6.12% 5.75% 4.99% 4.33%
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 19 19 16 16 20 15 18 20
Avg Max Decline   -1.23% -2.34% -1.21% -1.72% -1.41% -1.40% -1.11% -1.87% -1.37% -1.63% -1.18%
Max Decline   -3.05% -11.63% -5.66% -7.28% -3.93% -4.42% -3.65% -6.64% -7.26% -6.05% -3.44%
Avg Days to Max Decline   8 11 7 10 7 5 6 12 7 7 4
2018 Contract Condition       Yes Yes   Yes Yes Yes   Yes Yes
Action       Yes Yes   Yes Yes Yes   Yes Yes
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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 19 17 17 19 17 19 20 14 21
Penetrated Low   12 16 11 11 9 12 13 14 11 6 8
Scenario Percentage   63% 59% 58% 65% 53% 63% 76% 74% 55% 43% 38%
Avg Max Decline   7.97% 7.29% 6.47% 4.59% 10.39% 8.92% 7.01% 7.26% 12.17% 4.35% 3.01%
Max Decline   21.92% 12.86% 20.22% 12.12% 35.33% 31.91% 17.96% 38.37% 31.31% 8.28% 4.70%
Avg Days To Max Decline   16 17 20 15 20 16 17 13 18 12 11
Avg Max Increase   -1.24% -1.16% -1.38% -1.72% -1.83% -2.08% -2.32% -1.45% -2.10% -1.08% -1.02%
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   3 9 8 4 8 12 11 10 8 2 3
2018 Contract Condition   Yes Yes     Yes       Yes    
Action   Yes No     Yes       No    
High 773.90 723.55 703.45 696.80 711.85 707.80 719.05 731.25 747.65 745.05 758.40 748.75
Low 714.55 680.00 647.80 660.05 676.55 662.80 655.50 700.10 711.80 703.10 712.05 710.10
Close/Last 723.35 699.25 668.80 692.65 707.00 695.20 711.65 724.25 726.40 720.60 733.85 741.90

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