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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, 2009
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   25 26 26 26 26 26 26 26 26 26 26
Closed Higher   16 16 18 15 19 13 13 15 12 16 17
Exceeded High   15 14 17 14 15 10 12 12 11 13 16
Scenario Percentage   94% 88% 94% 93% 79% 77% 92% 80% 92% 81% 94%
Avg Max Increase   6.11% 5.48% 6.13% 6.63% 5.04% 6.33% 4.48% 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% -1.07% -0.90% -0.74% -1.74% -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 5 7 4 11 12 5 8 4
2008 Contract Condition         Yes Yes   Yes Yes      
Action         Yes No   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   25 26 26 26 26 26 26 26 26 26 26
Closed Lower   9 9 8 11 7 12 13 11 13 10 9
Penetrated Low   5 5 7 5 5 7 10 8 9 4 5
Scenario Percentage   56% 56% 88% 45% 71% 58% 77% 73% 69% 40% 56%
Avg Max Decline   6.25% 6.92% 4.41% 5.55% 9.46% 13.74% 10.42% 8.22% 13.87% 9.52% 2.35%
Max Decline   9.71% 11.11% 8.19% 14.21% 27.57% 21.86% 23.80% 20.76% 46.76% 32.20% 3.99%
Avg Days To Max Decline   18 15 13 18 24 20 18 17 20 15 11
Avg Max Increase   -0.71% -1.44% -0.99% -1.44% -1.79% -1.18% -1.64% -3.31% -1.57% -2.00% -1.54%
Max Increase   -2.68% -3.08% -2.71% -2.11% -3.34% -3.19% -6.71% -10.04% -3.49% -3.72% -7.28%
Avg Days to Max Increase   3 8 6 7 15 7 8 14 10 11 4
2008 Contract Condition   Yes Yes Yes     Yes     Yes Yes Yes
Action   No Yes No     Yes     Yes Yes Not Yet
High 2346.10 2249.30 2181.00 2107.30 2179.90 2255.20 2248.00 2085.70 2159.80 2150.40 1909.40 1554.30
Low 2182.70 1916.20 2058.50 1930.10 2047.80 2147.60 1994.60 1839.20 1995.10 1839.20 1238.60 1016.00
Close/Last 2245.60 2130.50 2066.30 2050.80 2150.80 2227.40 1994.60 2033.20 2108.70 1908.30 1498.60 1316.70

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