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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, 2014
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   30 31 31 31 31 31 31 31 31 31 31
Closed Higher   19 20 23 19 21 15 16 17 16 19 21
Exceeded High   18 18 21 17 17 12 15 14 14 15 20
Scenario Percentage   95% 90% 91% 89% 81% 80% 94% 82% 88% 79% 95%
Avg Max Increase   6.15% 5.92% 7.47% 6.64% 5.61% 7.40% 5.26% 3.91% 5.94% 7.68% 3.36%
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   19 19 20 15 20 19 17 17 19 23 18
Avg Max Decline   -0.60% -1.18% -1.96% -1.08% -1.38% -1.55% -2.12% -1.61% -2.53% -1.15% -0.82%
Max Decline   -3.00% -5.34% -7.92% -3.64% -6.08% -7.10% -7.87% -3.68% -10.95% -5.52% -3.25%
Avg Days to Max Decline   8 4 11 5 10 6 13 11 5 7 4
2013 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   30 31 31 31 31 31 31 31 31 31 31
Closed Lower   11 10 8 12 10 15 15 14 14 12 10
Penetrated Low   7 6 7 6 8 9 11 9 10 6 5
Scenario Percentage   64% 60% 88% 50% 80% 60% 73% 64% 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
2013 Contract Condition             Yes   Yes      
Action             No   No      
High 3187.30 3393.40 3476.90 3552.30 3579.10 3815.20 3769.20 3951.40 3989.80 4063.40 4206.70 4311.00
Low 3047.40 3164.50 3337.50 3363.30 3397.60 3518.80 3574.10 3680.80 3793.90 3798.50 3903.50 4098.90
Close/Last 3164.70 3380.00 3402.40 3548.80 3579.10 3719.70 3680.90 3917.10 3800.50 4011.30 4151.00 4295.10

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