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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Russell 2000 Index as of Jan 01, 2015
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   19 21 25 22 23 22 17 21 19 20 23
Exceeded High   16 19 24 18 20 17 16 19 15 17 22
Scenario Percentage   84% 90% 96% 82% 87% 77% 94% 90% 79% 85% 96%
Avg Max Increase   6.79% 7.03% 6.65% 7.17% 5.73% 6.81% 6.37% 5.45% 7.67% 8.46% 3.79%
Max Increase   18.63% 18.68% 21.06% 16.82% 15.48% 18.80% 15.99% 19.44% 24.42% 16.47% 9.94%
Avg Days To Max Increase   17 19 19 16 18 20 20 15 20 20 18
Avg Max Decline   -0.62% -0.91% -1.72% -1.40% -1.58% -1.35% -1.66% -1.41% -2.86% -0.75% -0.87%
Max Decline   -3.42% -5.77% -5.59% -4.55% -5.59% -6.84% -9.57% -4.22% -16.43% -3.32% -3.78%
Avg Days to Max Decline   8 4 9 5 10 5 8 7 7 7 5
2014 Contract Condition     Yes     Yes Yes   Yes   Yes  
Action     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   35 36 36 36 36 36 36 36 36 36 36
Closed Lower   16 15 11 14 13 14 19 15 16 16 13
Penetrated Low   10 11 7 9 9 11 13 12 12 10 7
Scenario Percentage   63% 73% 64% 64% 69% 79% 68% 80% 75% 63% 54%
Avg Max Decline   7.88% 8.33% 6.71% 5.45% 9.02% 10.05% 11.10% 9.96% 13.21% 7.33% 3.25%
Max Decline   22.77% 23.07% 18.09% 12.38% 27.36% 23.46% 22.94% 20.26% 45.37% 30.93% 4.97%
Avg Days To Max Decline   13 14 16 17 18 13 20 14 17 14 15
Avg Max Increase   -1.18% -0.96% -0.91% -2.07% -1.24% -0.98% -1.41% -2.44% -0.87% -1.01% -0.69%
Max Increase   -6.31% -2.83% -1.97% -4.89% -2.95% -3.98% -5.70% -11.54% -2.52% -2.51% -2.83%
Avg Days to Max Increase   6 5 6 8 11 5 8 9 5 6 4
2014 Contract Condition   Yes   Yes Yes     Yes   Yes   Yes
Action   Yes   Yes Yes     Yes   Yes   Yes
High 1167.95 1182.05 1193.50 1212.80 1193.95 1144.10 1193.60 1213.55 1177.05 1183.85 1174.35 1191.75
Low 1099.65 1119.80 1082.75 1146.85 1095.80 1082.55 1118.65 1120.05 1107.30 1101.65 1040.45 1152.00
Close/Last 1163.65 1130.90 1183.05 1173.05 1126.85 1134.50 1192.95 1120.05 1174.35 1101.70 1173.50 1173.15

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