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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Russell 2000 Index as of Mar 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   40 40 40 40 40 40 40 41 41 41 41
Closed Higher   25 20 23 21 22 27 30 23 25 28 26
Exceeded High   19 19 20 17 19 25 29 19 23 27 19
Scenario Percentage   76% 95% 87% 81% 86% 93% 97% 83% 92% 96% 73%
Avg Max Increase   6.55% 6.03% 5.27% 7.46% 8.34% 6.97% 7.44% 6.61% 6.66% 6.40% 4.87%
Max Increase   18.80% 15.99% 19.44% 24.42% 17.75% 19.05% 21.03% 18.63% 18.68% 21.06% 10.97%
Avg Days To Max Increase   21 21 15 20 20 17 18 17 20 19 21
Avg Max Decline   -1.31% -1.81% -1.48% -3.12% -1.20% -1.56% -2.24% -0.75% -1.25% -1.76% -0.87%
Max Decline   -6.84% -9.57% -4.22% -16.43% -5.68% -3.78% -7.37% -3.42% -5.77% -5.59% -2.67%
Avg Days to Max Decline   5 8 7 11 10 11 9 9 6 8 2
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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   40 40 40 40 40 40 40 41 41 41 41
Closed Lower   15 20 17 18 18 13 10 18 16 13 15
Penetrated Low   11 14 13 13 12 8 7 11 11 8 9
Scenario Percentage   73% 70% 76% 72% 67% 62% 70% 61% 69% 62% 60%
Avg Max Decline   10.05% 11.24% 9.73% 13.27% 7.70% 4.98% 9.59% 7.98% 8.33% 6.37% 4.18%
Max Decline   23.46% 22.94% 20.26% 45.37% 30.93% 15.33% 16.97% 22.77% 23.07% 18.09% 8.96%
Avg Days To Max Decline   13 20 15 18 14 15 14 13 14 18 16
Avg Max Increase   -1.00% -1.33% -2.49% -0.88% -1.27% -1.13% -2.25% -1.09% -0.96% -1.43% -1.81%
Max Increase   -3.98% -5.70% -11.54% -2.52% -4.95% -4.14% -5.21% -6.31% -2.83% -5.10% -3.25%
Avg Days to Max Increase   5 8 10 5 5 7 8 5 5 10 4
2020 Contract Condition       Yes         Yes Yes Yes  
Action       No         Yes Yes    
High 1618.35 1570.75 1599.40 1587.80 1590.50 1581.15 1634.75 1681.70 1715.10 1698.90 1539.75  
Low 1461.45 1460.50 1543.55 1450.30 1467.45 1462.20 1569.20 1589.75 1610.65 1448.20 966.20  
Close/Last 1465.50 1566.55 1574.60 1494.85 1523.35 1562.45 1624.50 1668.45 1614.05 1476.45 1132.00  

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