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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Russell 2000 Index as of May 10, 2021
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   42 42 42 42 42 42 42 42 42 42 42
Closed Higher   23 25 28 27 27 27 22 24 22 24 29
Exceeded High   19 23 27 23 24 21 20 21 18 21 27
Scenario Percentage   83% 92% 96% 85% 89% 78% 91% 88% 82% 88% 93%
Avg Max Increase   6.61% 6.66% 6.43% 7.24% 5.81% 6.56% 6.14% 5.29% 7.45% 9.08% 3.90%
Max Increase   18.63% 18.68% 21.06% 17.32% 15.48% 18.80% 15.99% 19.44% 24.42% 31.70% 11.34%
Avg Days To Max Increase   17 20 19 15 18 21 21 15 21 19 18
Avg Max Decline   -0.75% -1.25% -1.77% -1.96% -1.60% -1.45% -1.71% -1.80% -3.17% -0.83% -0.95%
Max Decline   -3.42% -5.77% -5.59% -9.88% -5.97% -6.84% -9.57% -8.28% -16.43% -3.32% -3.78%
Avg Days to Max Decline   9 6 10 6 11 6 8 8 10 7 3
2020 Contract Condition         Yes Yes Yes Yes Yes   Yes Yes
Action         Yes Yes 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   42 42 42 42 42 42 42 42 42 42 42
Closed Lower   19 17 14 15 15 15 20 18 19 18 13
Penetrated Low   12 12 8 10 10 11 14 13 13 12 7
Scenario Percentage   63% 71% 57% 67% 67% 73% 70% 72% 68% 67% 54%
Avg Max Decline   10.66% 10.51% 6.51% 4.98% 8.16% 10.05% 11.24% 9.73% 13.27% 7.70% 3.25%
Max Decline   40.14% 34.56% 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   -1.44% -1.23% -1.43% -2.03% -1.19% -1.00% -1.33% -2.49% -0.88% -1.27% -0.69%
Max Increase   -6.31% -4.29% -5.10% -4.89% -2.95% -3.98% -5.70% -11.54% -2.52% -4.95% -2.83%
Avg Days to Max Increase   6 5 10 7 10 5 8 10 5 5 4
2020 Contract Condition   Yes Yes Yes           Yes    
Action   Yes Yes No           No    
High 1681.70 1715.10 1698.90 1539.75 1373.40 1450.35 1537.60 1507.25 1603.60 1595.05 1652.05 1862.15
Low 1589.75 1610.65 1448.20 966.20 1035.40 1181.10 1343.60 1384.10 1483.35 1432.55 1498.10 1540.85
Close/Last 1668.45 1614.05 1476.45 1153.10 1310.65 1394.05 1441.35 1480.45 1561.90 1507.70 1538.50 1819.80

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