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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Russell 2000 Index as of Sep 29, 2023
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   43 44 44 44 44 44 44 44 44 44 44
Closed Higher   33 24 27 30 28 28 28 23 25 22 26
Exceeded High   32 20 25 27 24 25 21 21 22 18 23
Scenario Percentage   97% 83% 93% 90% 86% 89% 75% 91% 88% 82% 88%
Avg Max Increase   7.43% 6.97% 6.59% 6.43% 7.09% 5.72% 6.56% 6.22% 5.15% 7.38% 5.98%
Max Increase   21.03% 18.63% 18.68% 21.06% 17.32% 15.48% 18.80% 15.99% 19.44% 24.42% 21.04%
Avg Days To Max Increase   17 17 20 19 14 17 21 20 15 20 21
Avg Max Decline   -2.15% -0.71% -1.58% -1.77% -2.13% -1.55% -1.45% -1.69% -1.95% -3.17% -0.84%
Max Decline   -7.37% -3.42% -5.77% -5.59% -9.88% -5.97% -6.84% -9.57% -8.28% -16.43% -4.84%
Avg Days to Max Decline   8 9 6 10 6 11 6 7 8 10 5
2023 Contract Condition     Yes         Yes Yes      
Action     Yes         Yes No      
Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.
Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   43 44 44 44 44 44 44 44 44 44 44
Closed Lower   10 20 17 14 16 16 16 21 19 21 18
Penetrated Low   7 13 12 8 11 11 11 14 14 14 11
Scenario Percentage   70% 65% 71% 57% 69% 69% 69% 67% 74% 67% 61%
Avg Max Decline   9.59% 10.35% 10.51% 6.51% 5.61% 8.50% 10.05% 11.24% 9.81% 12.25% 6.24%
Max Decline   16.97% 40.14% 34.56% 18.09% 12.38% 27.36% 23.46% 22.94% 20.26% 45.37% 30.93%
Avg Days To Max Decline   14 14 14 18 16 16 13 20 15 17 14
Avg Max Increase   -2.25% -1.62% -1.23% -1.43% -2.28% -1.35% -1.00% -1.33% -2.55% -1.29% -0.88%
Max Increase   -5.21% -6.31% -4.29% -5.10% -4.89% -2.99% -3.98% -5.70% -11.54% -6.67% -2.51%
Avg Days to Max Increase   8 7 5 10 7 10 5 8 10 4 2
2023 Contract Condition   Yes   Yes Yes Yes Yes     Yes Yes  
Action   No   Yes No Yes No     Yes Not Yet  
High 1905.85 1898.45 1931.95 2007.30 1931.70 1812.35 1816.40 1906.85 2003.60 1996.90 1926.80  
Low 1757.45 1722.00 1737.25 1875.80 1695.25 1725.80 1704.80 1744.35 1823.90 1830.85 1761.60  
Close/Last 1886.60 1761.25 1931.95 1897.00 1802.50 1769.00 1749.65 1888.75 2003.20 1899.70 1785.10  

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