MRCI's ScenarioSM Study

ScenarioSM Study for Russell 2000 Index as of Oct 29, 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
2021 Contract Condition		Yes	Yes	Yes	Yes	Yes	Yes		Yes		Yes
Action		Yes	Yes	No	Yes	Yes	No		Yes		Not Yet

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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
2021 Contract Condition								Yes		Yes
Action								No		Not Yet
High	2026.25	2194.85	2318.10	2360.15	2322.90	2288.55	2350.70	2332.95	2286.35	2309.95	2321.45
Low	1817.00	1927.15	2075.00	2085.10	2171.70	2132.25	2229.60	2107.05	2122.25	2155.35	2188.70
Close/Last	1974.85	2073.65	2201.05	2220.50	2266.45	2268.95	2310.55	2226.25	2273.75	2204.35	2297.20