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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Value Line Index as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 24 25 25 25 25 25 25 25 25 25 25
Closed Higher 16 16 18 14 18 13 12 14 12 16 17
Exceeded High 15 14 17 13 15 10 11 12 11 13 16
Scenario Percentage 94% 88% 94% 93% 83% 77% 92% 86% 92% 81% 94%
Avg Max Increase 6.11% 5.48% 6.13% 6.77% 5.04% 6.33% 4.32% 3.09% 5.73% 7.57% 2.75%
Max Increase 15.44% 11.48% 22.43% 16.79% 11.15% 10.25% 8.96% 7.54% 15.24% 16.53% 6.04%
Avg Days To Max Increase 18 17 21 16 19 18 16 18 19 22 16
Avg Max Decline -0.66% -0.77% -1.91% -1.14% -0.90% -0.74% -1.73% -1.55% -2.44% -1.16% -0.79%
Max Decline -3.00% -4.88% -7.92% -3.64% -2.96% -5.53% -4.02% -3.68% -10.95% -5.52% -3.13%
Avg Days to Max Decline 7 4 11 6 7 4 12 12 5 8 4
2007 Contract Condition Yes Yes Yes Yes Yes     Yes Yes Yes  
Action Yes 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 24 25 25 25 25 25 25 25 25 25 25
Closed Lower 8 8 7 11 7 11 13 11 12 9 8
Penetrated Low 5 4 7 5 5 6 10 8 8 3 8
Scenario Percentage 62% 50% 100% 45% 71% 55% 77% 73% 67% 33% 100%
Avg Max Decline 6.25% 6.33% 4.41% 5.55% 9.46% 14.73% 10.42% 8.22% 9.76% 1.96% 14.31%
Max Decline 9.71% 11.11% 8.19% 14.21% 27.57% 21.86% 23.80% 20.76% 32.94% 3.21% 30.84%
Avg Days To Max Decline 18 14 13 18 24 21 18 17 20 13 11
Avg Max Increase -0.71% -2.32% -0.99% -1.44% -1.79% -1.33% -1.64% -3.31% -1.76% -1.43% -4.40%
Max Increase -2.68% -3.08% -2.71% -2.11% -3.34% -3.19% -6.71% -10.04% -3.49% -2.07% -9.17%
Avg Days to Max Increase 3 9 6 7 15 8 8 14 11 14 23
2007 Contract Condition           Yes Yes       Yes
Action           Yes Yes       No
High 2279.00 2366.30 2328.00 2418.80 2470.60 2487.00 2509.10 2360.80 2402.90 2467.60 2413.50
Low 2185.90 2258.50 2200.30 2301.00 2357.40 2392.60 2307.00 2152.60 2260.30 2314.90 2161.80
Close/Last 2273.70 2278.70 2303.00 2374.00 2465.70 2431.50 2315.90 2326.80 2365.40 2415.50 2267.20

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