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