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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Dow Jones Transportation as of Jan 01, 2013
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   42 43 43 43 43 43 43 43 43 43 43
Closed Higher   26 25 29 25 22 19 20 18 15 30 31
Exceeded High   24 21 24 20 14 15 16 13 15 27 25
Scenario Percentage   92% 84% 83% 80% 64% 79% 80% 72% 100% 90% 81%
Avg Max Increase   7.88% 8.30% 10.03% 6.16% 9.00% 8.66% 8.43% 9.94% 10.01% 7.98% 4.89%
Max Increase   18.41% 19.90% 28.84% 13.17% 18.59% 21.17% 20.58% 22.99% 28.74% 21.22% 13.73%
Avg Days To Max Increase   17 20 18 15 22 13 16 18 18 17 17
Avg Max Decline   -2.37% -1.95% -1.60% -2.19% -2.43% -2.25% -3.01% -2.10% -2.04% -2.50% -0.98%
Max Decline   -7.66% -5.48% -4.33% -7.65% -6.65% -9.97% -9.31% -5.70% -5.56% -9.74% -3.96%
Avg Days to Max Decline   8 11 8 6 10 7 8 6 6 13 4
2012 Contract Condition   Yes   Yes     Yes       Yes Yes
Action   Yes   No     No       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   42 43 43 43 43 43 43 43 43 43 43
Closed Lower   16 18 14 17 20 24 23 25 27 13 11
Penetrated Low   12 13 8 12 17 18 20 15 17 6 7
Scenario Percentage   75% 72% 57% 71% 85% 75% 87% 60% 63% 46% 64%
Avg Max Decline   9.38% 6.92% 10.20% 8.90% 7.26% 9.46% 10.17% 13.07% 12.09% 10.12% 4.81%
Max Decline   28.05% 14.61% 24.86% 23.72% 19.44% 24.93% 25.62% 36.57% 36.98% 25.14% 7.43%
Avg Days To Max Decline   14 13 24 19 18 16 18 17 16 14 9
Avg Max Increase   -2.84% -1.93% -1.62% -2.37% -3.72% -2.84% -1.95% -2.34% -2.91% -3.41% -2.05%
Max Increase   -9.17% -4.17% -5.22% -4.23% -11.88% -8.33% -5.73% -5.56% -6.67% -6.22% -5.12%
Avg Days to Max Increase   6 7 7 6 9 7 7 11 8 14 3
2012 Contract Condition     Yes   Yes Yes   Yes Yes Yes    
Action     Yes   Yes Yes   Yes Yes Yes    
High 5077.00 5359.00 5384.00 5390.00 5334.00 5361.00 5290.00 5266.00 5224.00 5231.00 5193.00 5213.00
Low 4750.00 5004.00 5090.00 5029.00 5076.00 4865.00 4795.00 4912.00 4931.00 4871.00 4878.00 4838.00
Close/Last 5020.00 5319.00 5153.00 5253.00 5230.00 5075.00 5209.00 5088.00 5007.00 4893.00 5085.00 5119.00

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