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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, 2007
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 23 24 24 24 24 24 24 24 24 24 24
Closed Higher 15 15 17 13 17 13 12 13 11 15 17
Exceeded High 14 13 16 12 14 10 11 11 10 13 16
Scenario Percentage 93% 87% 94% 92% 82% 77% 92% 85% 91% 87% 94%
Avg Max Increase 6.25% 5.43% 6.06% 6.94% 5.28% 6.33% 4.32% 2.82% 5.87% 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 17 16 21 17 20 18 16 18 19 22 16
Avg Max Decline -0.71% -0.57% -2.02% -1.18% -0.75% -0.74% -1.73% -1.43% -2.68% -1.16% -0.79%
Max Decline -3.00% -4.88% -7.92% -3.64% -2.59% -5.53% -4.02% -3.68% -10.95% -5.52% -3.13%
Avg Days to Max Decline 8 4 12 6 7 4 12 12 5 8 4
2006 Contract Condition Yes   Yes Yes       Yes Yes Yes Yes
Action Yes   Yes Yes       Yes Yes 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 23 24 24 24 24 24 24 24 24 24 24
Closed Lower 8 8 7 11 7 10 12 11 12 9 7
Penetrated Low 5 4 7 5 5 5 9 8 8 3 7
Scenario Percentage 62% 50% 100% 45% 71% 50% 75% 73% 67% 33% 100%
Avg Max Decline 6.25% 6.33% 4.41% 5.55% 9.46% 15.38% 10.79% 8.22% 9.76% 1.96% 14.08%
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 22 18 17 20 13 12
Avg Max Increase -0.71% -2.32% -0.99% -1.44% -1.79% -0.96% -1.60% -3.31% -1.76% -1.43% -4.53%
Max Increase -2.68% -3.08% -2.71% -2.11% -3.34% -1.95% -6.71% -10.04% -3.49% -2.07% -9.17%
Avg Days to Max Increase 3 9 6 7 15 7 8 14 11 14 25
2006 Contract Condition   Yes     Yes Yes Yes        
Action   No     Yes Yes No        
High 2043.20 2061.10 2105.40 2139.90 2156.10 2061.30 2015.30 2014.80 2064.40 2161.10 2215.50
Low 1903.40 1987.50 1997.10 2060.10 1961.70 1894.80 1874.90 1905.50 1970.50 2019.10 2099.50
Close/Last 2039.20 2034.30 2095.30 2117.90 2018.20 2003.90 1952.60 2009.50 2044.70 2138.60 2201.00

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