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MRCI's Scenario Study

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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        
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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 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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