MRCI's ScenarioSM Study

ScenarioSM Study for Russell 2000 Index as of Dec 31, 1999
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		20	21	21	21	21	21	21	21	21	21	21
Closed Higher		13	13	15	14	14	13	11	13	11	10	13
Exceeded High		11	11	15	12	12	11	10	12	9	9	12
Scenario Percentage		85%	85%	100%	86%	86%	85%	91%	92%	82%	90%	92%
Avg Max Increase		7.61%	7.60%	5.60%	6.93%	5.04%	6.35%	6.33%	5.21%	7.75%	7.88%	3.21%
Max Increase		18.63%	12.21%	15.57%	15.71%	15.48%	18.80%	15.99%	19.44%	24.42%	16.47%	9.94%
Avg Days To Max Increase		16	22	20	21	18	22	21	14	19	20	17
Avg Max Decline		-0.17%	-0.24%	-1.58%	-1.43%	-1.02%	-0.90%	-0.43%	-1.01%	-2.95%	0.07%	-0.54%
Max Decline		-2.89%	-2.12%	-4.71%	-4.55%	-3.18%	-6.33%	-2.01%	-3.72%	-16.43%	-0.89%	-2.55%
Avg Days to Max Decline		5	3	11	5	8	5	4	6	7	4	5
2009 Contract Condition
Action

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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		20	21	21	21	21	21	21	21	21	21	21
Closed Lower		7	8	6	7	7	8	10	8	9	11	8
Penetrated Low		3	6	4	5	4	6	8	7	7	6	6
Scenario Percentage		43%	75%	67%	71%	57%	75%	80%	88%	78%	55%	75%
Avg Max Decline		7.32%	8.39%	3.46%	3.38%	5.57%	7.16%	10.98%	8.16%	10.75%	3.75%	3.24%
Max Decline		11.21%	23.07%	6.21%	5.76%	8.07%	12.56%	22.94%	15.05%	37.91%	8.27%	4.97%
Avg Days To Max Decline		13	16	13	21	22	13	19	17	18	12	14
Avg Max Increase		1.22%	-1.49%	-0.59%	-2.13%	-1.45%	-0.50%	-0.75%	-3.11%	-0.98%	-0.42%	-0.60%
Max Increase		0.49%	-2.83%	-1.97%	-4.89%	-2.92%	-1.31%	-3.22%	-11.54%	-2.52%	-1.36%	-2.83%
Avg Days to Max Increase		2	7	6	12	18	5	7	12	7	8	3
2009 Contract Condition
Action
High	473.10
Low	415.85
Close/Last	441.80