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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Russell 2000 Index as of Oct 31, 2024
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   25 27 30 28 28 29 24 25 22 26 31
Exceeded High   21 25 27 24 25 22 21 22 18 23 28
Scenario Percentage   84% 93% 90% 86% 89% 76% 88% 88% 82% 88% 90%
Avg Max Increase   6.82% 6.59% 6.43% 7.09% 5.72% 6.54% 6.22% 5.15% 7.45% 8.74% 4.28%
Max Increase   18.63% 18.68% 21.06% 17.32% 15.48% 18.80% 15.99% 19.44% 24.42% 31.70% 14.53%
Avg Days To Max Increase   17 20 19 14 17 21 20 15 21 19 18
Avg Max Decline   -0.71% -1.58% -1.77% -2.13% -1.55% -1.54% -1.69% -1.95% -3.17% -0.97% -0.94%
Max Decline   -3.42% -5.77% -5.59% -9.88% -5.97% -6.84% -9.57% -8.28% -16.43% -4.84% -3.78%
Avg Days to Max Decline   8 6 10 6 11 6 7 8 10 7 3
2024 Contract Condition     Yes Yes   Yes   Yes   Yes    
Action     Yes No   Yes   No   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 18 15 17 17 16 21 20 22 19 14
Penetrated Low   13 13 8 12 11 11 14 15 15 12 8
Scenario Percentage   65% 72% 53% 71% 65% 69% 67% 75% 68% 63% 57%
Avg Max Decline   10.35% 10.52% 6.51% 5.45% 8.50% 10.05% 11.24% 10.09% 12.16% 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   14 15 18 15 16 13 20 16 18 14 15
Avg Max Increase   -1.62% -1.28% -1.43% -2.17% -1.35% -1.00% -1.33% -2.47% -1.21% -1.27% -1.05%
Max Increase   -6.31% -4.29% -5.10% -4.89% -2.99% -3.98% -5.70% -11.54% -6.67% -4.95% -3.54%
Avg Days to Max Increase   7 5 10 6 10 5 8 9 5 5 4
2024 Contract Condition   Yes     Yes   Yes   Yes   Yes  
Action   No     No   No   No   Not Yet  
High 2071.80 2032.50 2072.95 2135.45 2126.05 2112.30 2088.55 2300.00 2262.75 2259.25 2289.50  
Low 1800.80 1898.25 1921.35 2009.80 1931.55 1968.05 1993.25 2019.05 1993.25 2058.70 2170.60  
Close/Last 2027.05 1947.35 2054.85 2124.55 1973.90 2070.15 2047.70 2254.50 2217.65 2229.95 2196.65  

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Newsflash

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