|
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 |
|
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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