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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, 2010
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 26 27 27 27 27 27 27 27 27 27 27
Closed Higher 16 16 19 16 20 14 14 16 13 16 18
Exceeded High 15 14 18 15 16 11 13 13 12 13 17
Scenario Percentage 94% 88% 95% 94% 80% 79% 93% 81% 92% 81% 94%
Avg Max Increase 6.11% 5.48% 7.63% 7.06% 5.58% 7.64% 5.33% 3.70% 5.60% 7.57% 3.10%
Max Increase 15.44% 11.48% 33.19% 16.79% 13.56% 20.82% 15.64% 11.05% 15.24% 16.53% 8.64%
Avg Days To Max Increase 18 17 21 16 20 19 16 18 19 22 17
Avg Max Decline -0.66% -0.77% -1.92% -1.07% -1.22% -1.32% -1.60% -1.68% -2.62% -1.16% -0.72%
Max Decline -3.00% -4.88% -7.92% -3.64% -6.08% -7.10% -4.02% -3.68% -10.95% -5.52% -3.13%
Avg Days to Max Decline 7 4 10 6 9 4 11 11 5 8 4
2009 Contract Condition     Yes Yes Yes Yes Yes Yes Yes   Yes
Action     Yes 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 26 27 27 27 27 27 27 27 27 27 27
Closed Lower 10 10 8 11 7 12 13 11 13 11 9
Penetrated Low 6 6 7 5 5 7 10 8 9 5 8
Scenario Percentage 60% 60% 88% 45% 71% 58% 77% 73% 69% 45% 89%
Avg Max Decline 9.08% 7.89% 4.41% 5.55% 9.46% 13.74% 10.42% 8.22% 13.87% 7.91% 14.31%
Max Decline 23.24% 12.75% 8.19% 14.21% 27.57% 21.86% 23.80% 20.76% 46.76% 32.20% 30.84%
Avg Days To Max Decline 16 13 13 18 24 20 18 17 20 12 11
Avg Max Increase -1.77% -1.09% -0.99% -1.44% -1.79% -1.18% -1.64% -3.31% -1.57% -1.87% -4.40%
Max Increase -7.08% -3.08% -2.71% -2.11% -3.34% -3.19% -6.71% -10.04% -3.49% -3.72% -9.17%
Avg Days to Max Increase 4 7 6 7 15 7 8 14 10 9 23
2009 Contract Condition Yes Yes               Yes  
Action Yes Yes               Yes  
High 1517.90 1384.50 1372.00 1632.20 1727.30 1802.60 1925.70 2071.40 2210.50 2239.70 2195.50
Low 1255.50 1131.50 992.50 1269.50 1578.60 1632.70 1592.70 1914.40 1952.50 2029.00 2005.40
Close/Last 1293.00 1137.60 1296.90 1595.10 1695.80 1714.50 1911.50 2016.90 2149.40 2035.30 2111.40

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