MRCI's ScenarioSM Study

ScenarioSM Study for Russell 2000 Index as of Sep 29, 2023
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct
Tested Years		43	44	44	44	44	44	44	44	44	44	44
Closed Higher		33	24	27	30	28	28	28	23	25	22	26
Exceeded High		32	20	25	27	24	25	21	21	22	18	23
Scenario Percentage		97%	83%	93%	90%	86%	89%	75%	91%	88%	82%	88%
Avg Max Increase		7.43%	6.97%	6.59%	6.43%	7.09%	5.72%	6.56%	6.22%	5.15%	7.38%	5.98%
Max Increase		21.03%	18.63%	18.68%	21.06%	17.32%	15.48%	18.80%	15.99%	19.44%	24.42%	21.04%
Avg Days To Max Increase		17	17	20	19	14	17	21	20	15	20	21
Avg Max Decline		-2.15%	-0.71%	-1.58%	-1.77%	-2.13%	-1.55%	-1.45%	-1.69%	-1.95%	-3.17%	-0.84%
Max Decline		-7.37%	-3.42%	-5.77%	-5.59%	-9.88%	-5.97%	-6.84%	-9.57%	-8.28%	-16.43%	-4.84%
Avg Days to Max Decline		8	9	6	10	6	11	6	7	8	10	5
2023 Contract Condition			Yes					Yes	Yes
Action			Yes					Yes	No

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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	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct
Tested Years		43	44	44	44	44	44	44	44	44	44	44
Closed Lower		10	20	17	14	16	16	16	21	19	21	18
Penetrated Low		7	13	12	8	11	11	11	14	14	14	11
Scenario Percentage		70%	65%	71%	57%	69%	69%	69%	67%	74%	67%	61%
Avg Max Decline		9.59%	10.35%	10.51%	6.51%	5.61%	8.50%	10.05%	11.24%	9.81%	12.25%	6.24%
Max Decline		16.97%	40.14%	34.56%	18.09%	12.38%	27.36%	23.46%	22.94%	20.26%	45.37%	30.93%
Avg Days To Max Decline		14	14	14	18	16	16	13	20	15	17	14
Avg Max Increase		-2.25%	-1.62%	-1.23%	-1.43%	-2.28%	-1.35%	-1.00%	-1.33%	-2.55%	-1.29%	-0.88%
Max Increase		-5.21%	-6.31%	-4.29%	-5.10%	-4.89%	-2.99%	-3.98%	-5.70%	-11.54%	-6.67%	-2.51%
Avg Days to Max Increase		8	7	5	10	7	10	5	8	10	4	2
2023 Contract Condition		Yes		Yes	Yes	Yes	Yes			Yes	Yes
Action		No		Yes	No	Yes	No			Yes	Not Yet
High	1905.85	1898.45	1931.95	2007.30	1931.70	1812.35	1816.40	1906.85	2003.60	1996.90	1926.80
Low	1757.45	1722.00	1737.25	1875.80	1695.25	1725.80	1704.80	1744.35	1823.90	1830.85	1761.60
Close/Last	1886.60	1761.25	1931.95	1897.00	1802.50	1769.00	1749.65	1888.75	2003.20	1899.70	1785.10