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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Dow Jones Utilities as of May 10, 2021
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 30 28 26 28 26 26 30 24
Exceeded High   18 17 26 24 22 23 26 20 23 25 17
Scenario Percentage   72% 94% 100% 80% 79% 88% 93% 77% 88% 83% 71%
Avg Max Increase   4.80% 5.48% 5.08% 5.59% 5.60% 4.75% 4.61% 6.03% 5.60% 5.20% 4.33%
Max Increase   9.67% 11.96% 19.81% 14.30% 11.22% 9.82% 23.61% 13.93% 14.31% 12.12% 7.74%
Avg Days To Max Increase   17 18 15 18 19 17 16 20 14 18 20
Avg Max Decline   -1.27% -2.30% -1.25% -1.99% -1.43% -1.41% -1.13% -1.82% -1.25% -1.60% -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
2020 Contract Condition   Yes     Yes Yes   Yes   Yes Yes Yes
Action   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 18 15 17 19 17 18 19 15 21
Penetrated Low   12 16 9 10 8 11 13 13 11 7 8
Scenario Percentage   63% 59% 50% 67% 47% 58% 76% 72% 58% 47% 38%
Avg Max Decline   7.97% 8.65% 5.11% 3.83% 10.31% 8.54% 6.69% 7.19% 12.17% 4.36% 3.01%
Max Decline   21.92% 29.34% 10.39% 6.70% 35.33% 31.91% 17.96% 38.37% 31.31% 8.28% 4.70%
Avg Days To Max Decline   16 16 17 14 21 15 17 14 18 12 11
Avg Max Increase   -1.24% -1.65% -1.59% -1.47% -1.54% -1.78% -2.41% -1.60% -2.10% -1.01% -1.02%
Max Increase   -4.80% -10.26% -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 11 11 8 2 3
2020 Contract Condition     Yes Yes     Yes   Yes      
Action     Yes No     No   Yes      
High 882.60 944.60 963.80 926.15 837.95 809.75 849.45 841.35 848.70 830.45 900.70 931.30
Low 844.10 863.65 818.65 593.50 695.00 730.30 745.40 763.50 794.45 780.45 815.70 858.60
Close/Last 879.15 938.55 839.95 756.15 778.30 806.90 767.50 830.75 803.20 814.70 857.75 861.75

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