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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Russell 2000 Index as of Jan 01, 2014
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   34 35 35 35 35 35 35 35 35 35 35
Closed Higher   19 20 25 22 22 21 17 20 19 19 23
Exceeded High   16 18 24 18 19 16 16 18 15 16 22
Scenario Percentage   84% 90% 96% 82% 86% 76% 94% 90% 79% 84% 96%
Avg Max Increase   6.79% 7.28% 6.65% 7.17% 5.66% 7.13% 6.37% 5.70% 7.67% 8.74% 3.79%
Max Increase   18.63% 18.68% 21.06% 16.82% 15.48% 18.80% 15.99% 19.44% 24.42% 16.47% 9.94%
Avg Days To Max Increase   17 20 19 16 19 21 20 15 20 20 18
Avg Max Decline   -0.62% -0.87% -1.72% -1.40% -1.59% -1.46% -1.66% -1.47% -2.86% -0.58% -0.87%
Max Decline   -3.42% -5.77% -5.59% -4.55% -5.59% -6.84% -9.57% -4.22% -16.43% -2.68% -3.78%
Avg Days to Max Decline   8 4 9 5 11 6 8 7 7 5 5
2013 Contract Condition   Yes Yes Yes   Yes   Yes   Yes Yes Yes
Action   Yes Yes Yes   Yes   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   34 35 35 35 35 35 35 35 35 35 35
Closed Lower   15 15 10 13 13 14 18 15 15 16 12
Penetrated Low   9 11 6 8 9 11 12 12 11 10 6
Scenario Percentage   60% 73% 60% 62% 69% 79% 67% 80% 73% 63% 50%
Avg Max Decline   8.28% 8.33% 6.55% 5.64% 9.02% 10.05% 11.88% 9.96% 13.91% 7.33% 3.24%
Max Decline   22.77% 23.07% 18.09% 12.38% 27.36% 23.46% 22.94% 20.26% 45.37% 30.93% 4.97%
Avg Days To Max Decline   14 14 16 17 18 13 19 14 17 14 14
Avg Max Increase   -1.32% -0.96% -0.76% -2.21% -1.24% -0.98% -1.05% -2.44% -0.89% -1.01% -0.60%
Max Increase   -6.31% -2.83% -1.97% -4.89% -2.95% -3.98% -3.53% -11.54% -2.52% -2.51% -2.83%
Avg Days to Max Increase   6 5 7 8 11 5 6 9 5 6 3
2013 Contract Condition         Yes   Yes   Yes      
Action         No   No   Yes      
High 852.50 907.90 932.00 954.00 951.60 1008.25 1001.50 1056.85 1063.50 1082.00 1123.25 1147.00
Low 816.10 849.35 894.25 899.30 898.40 924.20 942.80 977.45 1009.45 1009.00 1037.85 1079.10
Close/Last 849.35 902.10 911.10 951.55 947.45 984.15 977.50 1045.25 1010.90 1073.80 1100.15 1142.90

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