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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 31, 2020
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   40 40 40 40 40 40 40 40 41 41 41
Closed Higher   26 25 20 23 21 22 27 30 23 25 28
Exceeded High   23 19 19 20 17 19 25 29 19 23 22
Scenario Percentage   88% 76% 95% 87% 81% 86% 93% 97% 83% 92% 79%
Avg Max Increase   5.62% 6.55% 6.03% 5.27% 7.46% 8.34% 6.97% 7.44% 6.61% 6.66% 4.89%
Max Increase   15.48% 18.80% 15.99% 19.44% 24.42% 17.75% 19.05% 21.03% 18.63% 18.68% 17.03%
Avg Days To Max Increase   18 21 21 15 20 20 17 18 17 20 22
Avg Max Decline   -1.67% -1.31% -1.81% -1.48% -3.12% -1.20% -1.56% -2.24% -0.75% -1.25% -1.18%
Max Decline   -5.97% -6.84% -9.57% -4.22% -16.43% -5.68% -3.78% -7.37% -3.42% -5.77% -3.26%
Avg Days to Max Decline   11 5 8 7 11 10 11 9 9 6 5
2020 Contract Condition     Yes Yes   Yes Yes Yes Yes      
Action     Yes No   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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   40 40 40 40 40 40 40 40 41 41 41
Closed Lower   14 15 20 17 18 18 13 10 18 16 13
Penetrated Low   9 11 14 13 13 12 8 7 11 11 7
Scenario Percentage   64% 73% 70% 76% 72% 67% 62% 70% 61% 69% 54%
Avg Max Decline   9.02% 10.05% 11.24% 9.73% 13.27% 7.70% 4.98% 9.59% 7.98% 8.33% 6.46%
Max Decline   27.36% 23.46% 22.94% 20.26% 45.37% 30.93% 15.33% 16.97% 22.77% 23.07% 18.09%
Avg Days To Max Decline   18 13 20 15 18 14 15 14 13 14 17
Avg Max Increase   -1.24% -1.00% -1.33% -2.49% -0.88% -1.27% -1.13% -2.25% -1.09% -0.96% -0.88%
Max Increase   -2.95% -3.98% -5.70% -11.54% -2.52% -4.95% -4.14% -5.21% -6.31% -2.83% -1.97%
Avg Days to Max Increase   11 5 8 10 5 5 7 8 5 5 4
2020 Contract Condition   Yes     Yes         Yes    
Action   Yes     No         Not Yet    
High 1603.10 1618.35 1570.75 1599.40 1587.80 1590.50 1581.15 1634.75 1681.70 1715.10    
Low 1542.90 1461.45 1460.50 1543.55 1450.30 1467.45 1462.20 1569.20 1589.75 1610.65    
Close/Last 1591.20 1465.50 1566.55 1574.60 1494.85 1523.35 1562.45 1624.50 1668.45 1614.05    

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