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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Russell 2000 Index as of Sep 21, 2023
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   44 44 44 44 44 44 45 45 45 45 45
Closed Higher   23 25 22 26 30 33 25 27 30 28 28
Exceeded High   21 22 18 23 28 32 21 25 27 24 24
Scenario Percentage   91% 88% 82% 88% 93% 97% 84% 93% 90% 86% 86%
Avg Max Increase   6.22% 5.15% 7.45% 9.05% 7.25% 7.43% 6.82% 6.59% 6.43% 6.99% 3.55%
Max Increase   15.99% 19.44% 24.42% 31.70% 20.61% 21.03% 18.63% 18.68% 21.06% 17.32% 10.30%
Avg Days To Max Increase   20 15 21 20 18 17 17 20 19 14 14
Avg Max Decline   -1.69% -1.95% -3.17% -1.17% -1.78% -2.15% -0.71% -1.58% -1.77% -2.13% -0.57%
Max Decline   -9.57% -8.28% -16.43% -5.68% -8.72% -7.37% -3.42% -5.77% -5.59% -9.88% -2.16%
Avg Days to Max Decline   7 8 10 9 11 8 8 6 10 6 3
2023 Contract Condition   Yes     Yes Yes   Yes        
Action   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   44 44 44 44 44 44 45 45 45 45 45
Closed Lower   21 19 21 18 14 11 20 18 15 17 17
Penetrated Low   14 14 14 12 9 7 13 13 8 12 10
Scenario Percentage   67% 74% 67% 67% 64% 64% 65% 72% 53% 71% 59%
Avg Max Decline   11.24% 9.81% 12.42% 7.70% 5.93% 9.59% 10.35% 10.52% 6.51% 5.45% 6.42%
Max Decline   22.94% 20.26% 45.37% 30.93% 15.33% 16.97% 40.14% 34.56% 18.09% 12.38% 11.94%
Avg Days To Max Decline   20 15 17 14 16 14 14 15 18 15 13
Avg Max Increase   -1.33% -2.55% -1.29% -1.27% -1.45% -2.25% -1.62% -1.28% -1.43% -2.17% -0.93%
Max Increase   -5.70% -11.54% -6.67% -4.95% -4.14% -5.21% -6.31% -4.29% -5.10% -4.89% -2.99%
Avg Days to Max Increase   8 10 4 5 10 8 7 5 10 6 4
2023 Contract Condition     Yes Yes     Yes   Yes Yes Yes Yes
Action     Yes Yes     No   Yes No Yes Not Yet
High 1919.75 1888.20 2030.05 1906.10 1854.55 1905.85 1898.45 1931.95 2007.30 1931.70 1812.35 1816.40
Low 1641.45 1681.60 1843.10 1650.70 1641.95 1757.45 1722.00 1737.25 1875.80 1695.25 1725.80 1704.80
Close/Last 1708.00 1885.25 1844.10 1664.70 1846.85 1886.60 1761.25 1931.95 1897.00 1802.50 1769.00 1749.65

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