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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, 2019
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   35 36 36 36 36 36 36 36 36 36 36
Closed Higher   21 24 26 22 25 18 19 19 19 22 26
Exceeded High   19 22 24 20 21 15 18 16 16 18 23
Scenario Percentage   90% 92% 92% 91% 84% 83% 95% 84% 84% 82% 88%
Avg Max Increase   6.01% 5.76% 6.87% 6.24% 5.34% 6.41% 4.76% 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 19 18 17 16 20 22 19
Avg Max Decline   -0.59% -1.31% -1.90% -1.35% -1.47% -1.37% -7.67% -1.48% -2.62% -1.24% -1.03%
Max Decline   -3.00% -5.34% -7.92% -4.20% -6.08% -7.10% -99.88% -3.68% -10.95% -5.52% -4.58%
Avg Days to Max Decline   8 7 10 6 10 5 14 10 9 10 4
2018 Contract Condition   Yes     Yes Yes Yes Yes   Yes   Yes
Action   No     Yes Yes Yes Yes   No   Not Yet
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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   35 36 36 36 36 36 36 36 36 36 36
Closed Lower   14 11 10 14 11 17 17 17 16 14 10
Penetrated Low   8 6 8 7 8 10 13 11 11 8 5
Scenario Percentage   57% 55% 80% 50% 73% 59% 76% 65% 69% 57% 50%
Avg Max Decline   7.63% 7.89% 4.22% 5.78% 8.68% 13.16% 10.45% 17.11% 12.53% 7.71% 2.35%
Max Decline   23.24% 12.75% 8.19% 14.21% 27.57% 21.86% 23.80% 98.82% 46.76% 32.20% 3.99%
Avg Days To Max Decline   13 13 12 18 18 17 18 18 18 13 11
Avg Max Increase   -1.70% -1.09% -0.87% -1.57% -1.44% -1.28% -1.41% -1162.88% -1.36% -2.02% -1.54%
Max Increase   -7.08% -3.08% -2.71% -2.37% -3.34% -3.27% -6.71% -12762.48% -3.49% -4.35% -7.28%
Avg Days to Max Increase   3 7 5 13 12 7 6 13 9 8 4
2018 Contract Condition     Yes Yes         Yes   Yes  
Action     No Yes         Yes   Yes  
High 6138.10 6413.20 6291.50 6258.30 6218.80 6312.90 6469.60 6505.30 6531.90 6547.00 6511.30 6217.90
Low 5914.50 6092.50 5699.30 5891.60 5815.80 5950.90 6229.20 6258.20 7.70 0.60 5746.80 5816.80
Close/Last 6092.50 6272.80 5994.20 5991.30 6040.20 6229.20 6311.10 6451.40 50.90 6529.20 5958.60 6053.90

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