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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Value Line Index as of Nov 23, 2020
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   36 37 37 37 37 37 37 37 37 37 37
Closed Higher   22 25 26 23 25 19 20 20 19 23 27
Exceeded High   20 23 24 20 21 16 19 15 16 19 24
Scenario Percentage   91% 92% 92% 87% 84% 84% 95% 75% 84% 83% 89%
Avg Max Increase   5.96% 5.66% 6.94% 6.24% 5.34% 6.23% 4.65% 3.79% 6.05% 7.08% 3.31%
Max Increase   15.27% 17.47% 33.15% 16.82% 13.56% 20.76% 15.65% 11.06% 15.29% 16.51% 8.69%
Avg Days To Max Increase   18 19 19 14 19 19 16 14 20 22 19
Avg Max Decline   -0.66% -1.42% -1.88% -1.35% -1.49% -1.31% -2.53% -1.58% -2.86% -1.17% -1.08%
Max Decline   -3.17% -5.34% -7.87% -4.21% -6.07% -7.11% -8.30% -3.74% -10.96% -5.28% -4.57%
Avg Days to Max Decline   7 7 10 6 10 6 13 11 9 9 4
2020 Contract Condition         Yes Yes Yes Yes Yes   Yes Yes
Action         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   36 37 37 37 37 37 37 37 37 37 37
Closed Lower   14 11 11 14 12 16 17 17 17 14 10
Penetrated Low   8 6 8 7 8 9 13 10 12 8 5
Scenario Percentage   57% 55% 73% 50% 67% 56% 76% 59% 71% 57% 50%
Avg Max Decline   7.58% 7.88% 4.74% 5.85% 8.67% 12.68% 10.42% 8.92% 12.51% 7.68% 2.28%
Max Decline   23.28% 12.83% 8.13% 14.21% 27.60% 21.92% 23.82% 20.78% 46.75% 32.22% 3.78%
Avg Days To Max Decline   13 13 15 18 18 17 16 16 19 11 10
Avg Max Increase   -1.75% -1.10% -1.32% -1.59% -1.42% -1.22% -1.41% -2.93% -1.28% -1.83% -1.58%
Max Increase   -7.04% -3.08% -4.06% -2.38% -3.10% -3.28% -6.60% -9.97% -3.54% -4.35% -7.22%
Avg Days to Max Increase   3 7 6 13 12 6 6 13 8 7 3
2020 Contract Condition   Yes Yes Yes           Yes    
Action   Yes Yes No           Not Yet    
High 6687.00 6810.00 6704.00 6042.00 5566.00 5903.00 6565.00 6269.00 6617.00 6633.00 6734.00 7474.00
Low 6298.00 6397.00 5652.00 3691.00 4150.00 4800.00 5668.00 5719.00 6166.00 5972.00 6172.00 6307.00
Close/Last 6659.00 6411.00 5804.00 4546.00 5384.00 5731.00 5915.00 6166.00 6478.00 6235.00 6307.00 7451.00

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