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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, 2016
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   32 33 33 33 33 33 33 33 33 33 33
Closed Higher   19 22 24 19 23 16 16 18 16 21 23
Exceeded High   18 20 22 17 19 13 15 15 14 17 21
Scenario Percentage   95% 91% 92% 89% 83% 81% 94% 83% 88% 81% 91%
Avg Max Increase   6.15% 5.54% 7.20% 6.64% 5.39% 6.93% 5.26% 3.69% 5.94% 7.15% 3.31%
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 18 19 15 19 18 17 16 19 22 19
Avg Max Decline   -0.60% -1.31% -1.86% -1.08% -1.33% -1.41% -2.12% -1.52% -2.53% -1.20% -1.00%
Max Decline   -3.00% -5.34% -7.92% -3.64% -6.08% -7.10% -7.87% -3.68% -10.95% -5.52% -4.58%
Avg Days to Max Decline   8 6 10 5 10 5 13 10 5 9 4
2015 Contract Condition     Yes     Yes         Yes Yes
Action     Yes     Yes         Yes 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   32 33 33 33 33 33 33 33 33 33 33
Closed Lower   13 10 9 14 10 16 17 15 16 12 10
Penetrated Low   8 6 7 7 8 10 13 10 11 6 5
Scenario Percentage   62% 60% 78% 50% 80% 63% 76% 67% 69% 50% 50%
Avg Max Decline   7.63% 7.89% 4.41% 5.78% 8.68% 13.16% 10.45% 8.94% 12.53% 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   13 13 13 18 18 17 18 17 18 13 11
Avg Max Increase   -1.70% -1.09% -0.99% -1.57% -1.44% -1.28% -1.41% -2.92% -1.36% -1.93% -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 9 4
2015 Contract Condition   Yes   Yes Yes   Yes Yes Yes Yes    
Action   No   No Yes   Yes Yes Yes No    
High 4747.50 4708.40 4852.20 4883.00 4938.80 4905.90 4914.10 4796.90 4697.90 4529.90 4545.60 4625.70
Low 4427.70 4490.30 4516.60 4674.70 4782.50 4765.40 4740.40 4551.40 4203.90 4127.80 4159.90 4371.70
Close/Last 4683.10 4546.60 4824.70 4820.70 4800.20 4826.40 4753.70 4681.40 4449.30 4217.80 4513.10 4549.70

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