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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, 2013
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   29 30 30 30 30 30 30 30 30 30 30
Closed Higher   18 19 22 18 20 15 15 17 15 18 20
Exceeded High   17 17 20 16 16 12 14 14 13 14 19
Scenario Percentage   94% 89% 91% 89% 80% 80% 93% 82% 87% 78% 95%
Avg Max Increase   6.21% 5.96% 7.46% 6.64% 5.58% 7.40% 5.37% 3.91% 5.83% 7.82% 3.43%
Max Increase   15.44% 17.48% 33.19% 16.79% 13.56% 20.82% 15.64% 11.05% 15.24% 16.53% 8.68%
Avg Days To Max Increase   18 19 20 15 20 19 17 17 18 22 18
Avg Max Decline   -0.56% -1.18% -1.85% -1.05% -1.22% -1.55% -2.05% -1.61% -2.52% -1.15% -0.69%
Max Decline   -3.00% -5.34% -7.92% -3.64% -6.08% -7.10% -7.87% -3.68% -10.95% -5.52% -3.13%
Avg Days to Max Decline   6 5 10 5 9 6 12 11 5 7 3
2012 Contract Condition   Yes Yes Yes     Yes   Yes Yes   Yes
Action   Yes Yes No     Yes   Yes No   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   29 30 30 30 30 30 30 30 30 30 30
Closed Lower   11 10 8 12 10 14 15 13 14 12 10
Penetrated Low   7 6 7 6 8 9 11 9 10 6 5
Scenario Percentage   64% 60% 88% 50% 80% 64% 73% 69% 71% 50% 50%
Avg Max Decline   8.22% 7.89% 4.41% 6.54% 8.68% 13.34% 11.20% 9.13% 13.11% 7.43% 2.35%
Max Decline   23.24% 12.75% 8.19% 14.21% 27.57% 21.86% 23.80% 20.76% 46.76% 32.20% 3.99%
Avg Days To Max Decline   14 13 13 16 18 17 18 16 18 13 11
Avg Max Increase   -1.95% -1.09% -0.99% -1.44% -1.44% -1.32% -1.60% -3.04% -1.47% -1.93% -1.54%
Max Increase   -7.08% -3.08% -2.71% -2.11% -3.34% -3.27% -6.71% -10.04% -3.49% -3.72% -7.28%
Avg Days to Max Increase   3 7 6 6 12 6 7 12 9 9 4
2012 Contract Condition         Yes Yes   Yes     Yes  
Action         Yes Yes   No     Yes  
High 2746.30 2937.10 3051.30 3117.90 3096.20 3064.90 2894.70 2955.40 3031.50 3171.80 3123.90 3090.30
Low 2566.60 2694.90 2893.10 2908.60 2909.10 2742.40 2675.40 2774.70 2806.50 2949.40 2988.50 2871.80
Close/Last 2695.60 2893.20 3000.50 3066.20 3022.10 2793.20 2894.50 2872.60 2973.00 3058.00 3023.10 3072.80

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