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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Russell 2000 Index as of Jul 01, 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   41 41 41 41 41 41 41 41 41 41 41
Closed Higher   23 25 28 26 26 26 21 23 22 23 28
Exceeded High   19 23 27 22 23 20 19 20 18 20 26
Scenario Percentage   83% 92% 96% 85% 88% 77% 90% 87% 82% 87% 93%
Avg Max Increase   6.61% 6.66% 6.43% 6.78% 5.62% 6.32% 6.03% 5.27% 7.45% 7.95% 3.61%
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 20 19 15 18 21 21 15 21 19 17
Avg Max Decline   -0.75% -1.25% -1.77% -1.60% -1.67% -1.32% -1.81% -1.48% -3.17% -0.88% -0.98%
Max Decline   -3.42% -5.77% -5.59% -4.55% -5.97% -6.84% -9.57% -4.22% -16.43% -3.32% -3.78%
Avg Days to Max Decline   9 6 10 6 11 6 8 7 10 8 4
2020 Contract Condition         Yes Yes            
Action         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   41 41 41 41 41 41 41 41 41 41 41
Closed Lower   18 16 13 15 15 15 20 18 18 18 13
Penetrated Low   11 11 8 10 10 11 14 13 13 12 7
Scenario Percentage   61% 69% 62% 67% 67% 73% 70% 72% 72% 67% 54%
Avg Max Decline   7.98% 8.33% 6.51% 4.98% 8.16% 10.05% 11.24% 9.73% 13.27% 7.70% 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 18 16 16 13 20 15 18 14 15
Avg Max Increase   -1.09% -0.96% -1.43% -2.03% -1.19% -1.00% -1.33% -2.49% -0.88% -1.27% -0.69%
Max Increase   -6.31% -2.83% -5.10% -4.89% -2.95% -3.98% -5.70% -11.54% -2.52% -4.95% -2.83%
Avg Days to Max Increase   5 5 10 7 10 5 8 10 5 5 4
2020 Contract Condition   Yes Yes Yes     Yes          
Action   Yes Yes No                
High 1681.70 1715.10 1698.90 1539.75 1373.40 1450.35 1537.60          
Low 1589.75 1610.65 1448.20 966.20 1035.40 1181.10 1343.60          
Close/Last 1668.45 1614.05 1476.45 1153.10 1310.65 1394.05 1378.80          

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