MRCI's ScenarioSM Study

ScenarioSM Study for Russell 2000 Index as of Oct 31, 2022
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		43	43	43	43	43	43	43	43	43	43	43
Closed Higher		24	26	29	28	28	28	22	25	22	25	29
Exceeded High		20	24	27	24	25	21	20	22	18	22	27
Scenario Percentage		83%	92%	93%	86%	89%	75%	91%	88%	82%	88%	93%
Avg Max Increase		6.97%	6.68%	6.43%	7.09%	5.72%	6.56%	6.14%	5.15%	7.45%	8.99%	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	14	17	21	21	15	21	19	18
Avg Max Decline		-0.71%	-1.41%	-1.77%	-2.13%	-1.55%	-1.45%	-1.71%	-1.95%	-3.17%	-0.79%	-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
2022 Contract Condition			Yes	Yes				Yes			Yes
Action			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		43	43	43	43	43	43	43	43	43	43	43
Closed Lower		19	17	14	15	15	15	21	18	20	18	14
Penetrated Low		12	12	8	10	10	11	14	13	13	12	8
Scenario Percentage		63%	71%	57%	67%	67%	73%	67%	72%	65%	67%	57%
Avg Max Decline		10.66%	10.51%	6.51%	4.98%	8.16%	10.05%	11.24%	9.73%	13.27%	7.70%	3.36%
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%	-1.05%
Max Increase		-6.31%	-4.29%	-5.10%	-4.89%	-2.95%	-3.98%	-5.70%	-11.54%	-2.52%	-4.95%	-3.54%
Avg Days to Max Increase		6	5	10	7	10	5	8	10	5	5	4
2022 Contract Condition		Yes			Yes	Yes	Yes		Yes	Yes
Action		Yes			Yes	Yes	No		Yes	Yes
High	2276.75	2288.30	2105.20	2138.45	2103.35	1952.75	1919.75	1888.20	2030.05	1906.10	1854.55
Low	2107.70	1901.35	1894.45	1932.70	1860.60	1701.15	1641.45	1681.60	1843.10	1650.70	1641.95
Close/Last	2245.30	2028.45	2048.10	2070.15	1864.10	1864.05	1708.00	1885.25	1844.10	1664.70	1846.85