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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Value Line Index as of Apr 30, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   27 27 27 27 27 27 27 28 28 28 28
Closed Higher   14 16 13 16 18 23 16 17 20 17 20
Exceeded High   13 13 12 13 18 22 15 15 19 15 15
Scenario Percentage   93% 81% 92% 81% 100% 96% 94% 88% 95% 88% 75%
Avg Max Increase   5.33% 3.70% 5.60% 8.08% 6.01% 7.03% 6.11% 6.28% 7.70% 6.93% 3.16%
Max Increase   15.64% 11.05% 15.24% 16.74% 11.93% 19.67% 15.44% 17.48% 33.19% 16.79% 6.30%
Avg Days To Max Increase   16 18 19 23 18 17 18 18 21 15 15
Avg Max Decline   -1.60% -1.68% -2.62% -1.16% -1.43% -1.46% -0.66% -0.71% -1.81% -1.07% -0.27%
Max Decline   -4.02% -3.68% -10.95% -5.52% -3.13% -6.31% -3.00% -4.88% -7.92% -3.64% -1.44%
Avg Days to Max Decline   11 11 5 8 15 5 7 4 10 6 3
2011 Contract Condition   Yes   Yes Yes Yes Yes Yes Yes Yes Yes  
Action   Yes   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   27 27 27 27 27 27 27 28 28 28 28
Closed Lower   13 11 13 11 9 4 11 10 8 11 8
Penetrated Low   10 8 9 5 6 3 7 6 7 5 5
Scenario Percentage   77% 73% 69% 45% 67% 75% 64% 60% 88% 45% 63%
Avg Max Decline   10.42% 8.22% 13.87% 7.91% 4.54% 10.51% 8.22% 7.89% 4.41% 5.55% 6.51%
Max Decline   23.80% 20.76% 46.76% 32.20% 15.48% 14.67% 23.24% 12.75% 8.19% 14.21% 11.64%
Avg Days To Max Decline   18 17 20 12 13 19 14 13 13 18 18
Avg Max Increase   -1.64% -3.31% -1.57% -1.87% -1.86% -3.03% -1.95% -1.09% -0.99% -1.44% -1.14%
Max Increase   -6.71% -10.04% -3.49% -3.72% -7.28% -5.74% -7.08% -3.08% -2.71% -2.11% -2.14%
Avg Days to Max Increase   8 14 10 9 5 7 3 7 6 7 6
2011 Contract Condition     Yes                 Yes
Action     No                  
High 2462.20 2460.20 2444.10 2535.80 2633.80 2718.60 2889.00 2954.20 3072.90 3058.00 3142.10 3149.50
Low 2218.10 2163.10 2206.40 2256.80 2471.90 2574.60 2658.00 2853.90 2905.70 2852.00 2977.80 3115.30
Close/Last 2222.30 2394.80 2240.00 2504.80 2601.10 2658.20 2865.40 2892.30 3012.90 3056.70 3138.40 3118.30

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