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| MRCI's ScenarioSM Study |
| ScenarioSM Study for Value Line Index as of Jul 31, 2006 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
24 |
| Closed Higher |
12 |
17 |
12 |
12 |
12 |
10 |
14 |
16 |
20 |
15 |
15 |
| Exceeded High |
11 |
14 |
10 |
11 |
10 |
9 |
12 |
16 |
19 |
14 |
13 |
| Scenario Percentage |
92% |
82% |
83% |
92% |
83% |
90% |
86% |
100% |
95% |
93% |
87% |
| Avg Max Increase |
7.41% |
5.28% |
6.34% |
4.32% |
2.34% |
5.59% |
8.34% |
5.82% |
7.14% |
6.29% |
3.70% |
| Max Increase |
16.79% |
11.15% |
10.25% |
8.96% |
6.94% |
15.24% |
16.74% |
11.93% |
19.67% |
15.44% |
6.18% |
| Avg Days To Max Increase |
18 |
20 |
19 |
16 |
17 |
19 |
23 |
17 |
17 |
17 |
18 |
| Avg Max Decline |
-1.27% |
-0.75% |
-0.77% |
-1.73% |
-1.38% |
-2.84% |
-1.11% |
-1.56% |
-1.62% |
-0.71% |
-0.19% |
| Max Decline |
-4.02% |
-2.59% |
-5.53% |
-4.02% |
-3.68% |
-10.95% |
-5.52% |
-3.13% |
-6.31% |
-3.00% |
-1.67% |
| Avg Days to Max Decline |
6 |
7 |
4 |
12 |
13 |
6 |
8 |
16 |
5 |
8 |
2 |
| 2005 Contract Condition |
|
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
Yes |
|
Yes |
| Action |
|
Yes |
No |
|
|
Yes |
Yes |
Yes |
No |
|
Yes |
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
24 |
| Closed Lower |
11 |
6 |
10 |
11 |
11 |
13 |
9 |
7 |
3 |
8 |
8 |
| Penetrated Low |
5 |
4 |
5 |
9 |
8 |
9 |
4 |
5 |
2 |
5 |
7 |
| Scenario Percentage |
45% |
67% |
50% |
82% |
73% |
69% |
44% |
71% |
67% |
63% |
88% |
| Avg Max Decline |
5.55% |
10.05% |
15.41% |
10.81% |
8.23% |
8.97% |
3.78% |
2.61% |
8.44% |
6.25% |
18.24% |
| Max Decline |
14.21% |
27.57% |
21.86% |
23.80% |
20.76% |
32.94% |
9.25% |
3.99% |
8.47% |
9.71% |
25.67% |
| Avg Days To Max Decline |
18 |
26 |
24 |
18 |
17 |
21 |
15 |
11 |
18 |
18 |
19 |
| Avg Max Increase |
-1.44% |
-1.71% |
-0.91% |
-1.63% |
-3.30% |
-1.68% |
-1.48% |
-1.54% |
-4.46% |
-0.71% |
-4.55% |
| Max Increase |
-2.11% |
-3.34% |
-1.96% |
-6.71% |
-10.04% |
-3.49% |
-2.07% |
-7.28% |
-5.74% |
-2.68% |
-10.41% |
| Avg Days to Max Increase |
7 |
18 |
7 |
8 |
14 |
14 |
12 |
4 |
9 |
3 |
17 |
| 2005 Contract Condition |
Yes |
|
|
Yes |
Yes |
|
|
|
|
Yes |
|
| Action |
Yes |
|
|
Yes |
No |
|
|
|
|
No |
|
| High |
1655.20 |
1584.20 |
1632.10 |
1630.70 |
1541.40 |
1591.60 |
1624.30 |
1739.40 |
1803.80 |
1800.80 |
1780.30 |
| Low |
1548.80 |
1479.50 |
1560.30 |
1492.80 |
1448.30 |
1524.00 |
1551.30 |
1604.70 |
1707.80 |
1684.90 |
1729.20 |
| Close/Last |
1551.40 |
1575.70 |
1631.20 |
1539.40 |
1524.90 |
1576.10 |
1609.10 |
1726.40 |
1794.20 |
1730.80 |
1765.30 |
|
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