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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, 2018
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   34 35 35 35 35 35 35 35 35 35 35
Closed Higher   20 24 26 21 24 17 18 19 18 22 25
Exceeded High   19 22 24 19 20 14 17 16 16 18 23
Scenario Percentage   95% 92% 92% 90% 83% 82% 94% 84% 89% 82% 92%
Avg Max Increase   6.01% 5.76% 6.87% 6.20% 5.38% 6.62% 4.96% 3.55% 5.84% 7.04% 3.28%
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 18 17 16 20 22 19
Avg Max Decline   -0.59% -1.31% -1.90% -1.34% -1.55% -1.41% -2.25% -1.48% -2.62% -1.24% -1.03%
Max Decline   -3.00% -5.34% -7.92% -4.20% -6.08% -7.10% -7.87% -3.68% -10.95% -5.52% -4.58%
Avg Days to Max Decline   8 7 10 7 10 5 13 10 9 10 4
2017 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   34 35 35 35 35 35 35 35 35 35 35
Closed Lower   14 10 9 14 11 17 17 16 16 13 10
Penetrated Low   8 6 7 7 8 10 13 10 11 7 5
Scenario Percentage   57% 60% 78% 50% 73% 59% 76% 63% 69% 54% 50%
Avg Max Decline   7.63% 7.89% 4.41% 5.78% 8.68% 13.16% 10.45% 8.94% 12.53% 6.69% 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   13 13 13 18 18 17 18 17 18 11 11
Avg Max Increase   -1.70% -1.09% -0.99% -1.57% -1.44% -1.28% -1.41% -2.92% -1.36% -1.69% -1.54%
Max Increase   -7.08% -3.08% -2.71% -2.37% -3.34% -3.27% -6.71% -10.04% -3.49% -3.72% -7.28%
Avg Days to Max Increase   3 7 6 13 12 7 6 13 9 8 4
2017 Contract Condition           Yes     Yes      
Action           No     No      
High 5392.80 5428.00 5530.60 5533.20 5582.00 5536.60 5584.90 5679.30 5627.60 5784.90 5868.20 6058.80
Low 5136.60 5273.50 5319.00 5302.90 5340.30 5351.50 5453.60 5467.90 5355.60 5472.60 5765.20 5719.60
Close/Last 5262.00 5349.00 5444.60 5459.10 5513.70 5450.10 5539.80 5609.20 5510.50 5778.00 5830.30 6040.00

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