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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Dow Jones Utilities as of Feb 25, 2020
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 26 29 28 27 27 26 25 30 24
Exceeded High   18 17 26 23 22 23 25 20 22 25 17
Scenario Percentage   72% 94% 100% 79% 79% 85% 93% 77% 88% 83% 71%
Avg Max Increase   4.85% 5.48% 5.08% 5.44% 5.84% 4.75% 4.71% 6.03% 5.20% 4.94% 4.33%
Max Increase   9.67% 11.96% 19.81% 14.30% 11.22% 9.82% 23.61% 13.93% 13.49% 12.12% 7.74%
Avg Days To Max Increase   16 18 15 19 19 17 16 20 15 18 20
Avg Max Decline   -1.25% -2.30% -1.25% -1.81% -1.41% -1.41% -1.11% -1.82% -1.32% -1.66% -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 8 10 7 7 6 12 8 7 4
2019 Contract Condition   Yes Yes Yes Yes   Yes   Yes Yes    
Action   Yes Yes Yes Yes   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   19 27 18 16 17 18 18 18 20 15 21
Penetrated Low   12 16 10 10 8 11 14 13 11 7 8
Scenario Percentage   63% 59% 56% 63% 47% 61% 78% 72% 55% 47% 38%
Avg Max Decline   7.97% 7.29% 5.09% 3.83% 10.31% 8.54% 6.61% 7.36% 12.17% 4.36% 3.01%
Max Decline   21.92% 12.86% 10.39% 6.70% 35.33% 31.91% 17.96% 38.37% 31.31% 8.28% 4.70%
Avg Days To Max Decline   16 17 18 14 21 15 17 13 18 12 11
Avg Max Increase   -1.24% -1.16% -1.51% -1.47% -1.54% -1.78% -2.29% -1.39% -2.10% -1.01% -1.02%
Max Increase   -4.80% -3.23% -3.69% -4.09% -5.76% -4.65% -6.43% -4.76% -6.99% -2.36% -1.89%
Avg Days to Max Increase   3 9 8 4 8 11 10 10 8 2 3
2019 Contract Condition           Yes   Yes     Yes Yes
Action           No   Yes     Yes Not Yet
High 762.25 729.45 759.20 790.15 790.35 811.80 829.25 832.45 849.60 882.35 881.40 872.20
Low 681.85 688.45 716.35 753.05 766.85 761.05 779.05 800.05 797.40 837.75 851.45 828.90
Close/Last 712.95 727.25 756.35 778.70 790.00 784.45 810.65 808.95 845.50 878.65 867.50 851.70

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