|
MRCI's ScenarioSM Study |
ScenarioSM Study for Value Line Index as of May 31, 2010 |
Condition 1:
Higher Monthly Close. Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
Tested Month |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Tested Years |
|
26 |
26 |
26 |
26 |
27 |
27 |
27 |
27 |
27 |
27 |
27 |
Closed Higher |
|
16 |
17 |
22 |
16 |
16 |
19 |
16 |
20 |
14 |
14 |
16 |
Exceeded High |
|
13 |
17 |
21 |
15 |
14 |
18 |
15 |
16 |
11 |
13 |
13 |
Scenario Percentage |
|
81% |
100% |
95% |
94% |
88% |
95% |
94% |
80% |
79% |
93% |
81% |
Avg Max Increase |
|
8.08% |
5.68% |
7.16% |
6.11% |
5.48% |
7.63% |
7.06% |
5.58% |
7.64% |
5.31% |
2.33% |
Max Increase |
|
16.74% |
11.93% |
19.67% |
15.44% |
11.48% |
33.19% |
16.79% |
13.56% |
20.82% |
15.64% |
9.60% |
Avg Days To Max Increase |
|
23 |
18 |
17 |
18 |
17 |
21 |
16 |
20 |
19 |
16 |
16 |
Avg Max Decline |
|
-1.16% |
-1.54% |
-1.55% |
-0.66% |
-0.77% |
-1.92% |
-1.07% |
-1.22% |
-1.32% |
-1.60% |
-1.15% |
Max Decline |
|
-5.52% |
-3.13% |
-6.31% |
-3.00% |
-4.88% |
-7.92% |
-3.64% |
-6.08% |
-7.10% |
-4.02% |
-3.19% |
Avg Days to Max Decline |
|
8 |
15 |
5 |
7 |
4 |
10 |
6 |
9 |
4 |
11 |
5 |
2010 Contract Condition |
|
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
|
|
|
Action |
|
|
Yes |
Yes |
|
Yes |
Yes |
Not Yet |
|
|
|
|
Condition 2:
Lower Monthly Close. Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
Tested Month |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Tested Years |
|
26 |
26 |
26 |
26 |
27 |
27 |
27 |
27 |
27 |
27 |
27 |
Closed Lower |
|
10 |
9 |
4 |
10 |
10 |
8 |
11 |
7 |
12 |
13 |
11 |
Penetrated Low |
|
4 |
6 |
3 |
6 |
6 |
7 |
5 |
5 |
7 |
9 |
6 |
Scenario Percentage |
|
40% |
67% |
75% |
60% |
60% |
88% |
45% |
71% |
58% |
69% |
55% |
Avg Max Decline |
|
9.52% |
4.54% |
10.51% |
9.08% |
7.89% |
4.41% |
5.55% |
9.46% |
13.74% |
10.30% |
7.46% |
Max Decline |
|
32.20% |
15.48% |
14.67% |
23.24% |
12.75% |
8.19% |
14.21% |
27.57% |
21.86% |
23.80% |
20.76% |
Avg Days To Max Decline |
|
15 |
13 |
19 |
16 |
13 |
13 |
18 |
24 |
20 |
17 |
19 |
Avg Max Increase |
|
-2.00% |
-1.86% |
-3.03% |
-1.77% |
-1.09% |
-0.99% |
-1.44% |
-1.79% |
-1.18% |
-1.12% |
-1.38% |
Max Increase |
|
-3.72% |
-7.28% |
-5.74% |
-7.08% |
-3.08% |
-2.71% |
-2.11% |
-3.34% |
-3.19% |
-6.71% |
-2.90% |
Avg Days to Max Increase |
|
11 |
5 |
7 |
4 |
7 |
6 |
7 |
15 |
7 |
6 |
6 |
2010 Contract Condition |
|
Yes |
|
|
Yes |
|
|
|
Yes |
Yes |
|
|
Action |
|
Yes |
|
|
Yes |
|
|
|
Not Yet |
|
|
|
High |
2210.50 |
2239.70 |
2195.50 |
2293.90 |
2356.40 |
2312.60 |
2511.10 |
2697.40 |
2646.40 |
2405.90 |
|
|
Low |
1952.50 |
2029.00 |
2005.40 |
2118.90 |
2190.20 |
2127.00 |
2301.10 |
2481.50 |
2252.80 |
2333.90 |
|
|
Close/Last |
2149.40 |
2035.30 |
2111.40 |
2259.50 |
2194.10 |
2296.00 |
2478.00 |
2600.50 |
2400.50 |
2334.00 |
|
|
|
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