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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Russell 2000 Index as of Dec 30, 2016
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   36 37 37 37 37 37 37 37 37 37 37
Closed Higher   19 22 26 22 24 23 17 21 19 21 24
Exceeded High   16 20 25 18 21 17 16 19 15 18 23
Scenario Percentage   84% 91% 96% 82% 88% 74% 94% 90% 79% 86% 96%
Avg Max Increase   6.79% 6.86% 6.47% 7.17% 5.65% 6.81% 6.37% 5.45% 7.67% 8.20% 3.65%
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 19 18 16 18 20 20 15 20 19 18
Avg Max Decline   -0.62% -0.97% -1.69% -1.40% -1.54% -1.35% -1.66% -1.41% -2.86% -0.81% -0.86%
Max Decline   -3.42% -5.77% -5.59% -4.55% -5.59% -6.84% -9.57% -4.22% -16.43% -3.32% -3.78%
Avg Days to Max Decline   8 4 9 5 10 5 8 7 7 8 5
2016 Contract Condition       Yes Yes Yes   Yes Yes Yes   Yes
Action       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   36 37 37 37 37 37 37 37 37 37 37
Closed Lower   17 15 11 15 13 14 20 16 17 16 13
Penetrated Low   10 11 7 10 9 11 14 13 12 10 7
Scenario Percentage   59% 73% 64% 67% 69% 79% 70% 81% 71% 63% 54%
Avg Max Decline   7.88% 8.33% 6.71% 4.98% 9.02% 10.05% 11.23% 9.73% 13.21% 7.33% 3.25%
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   13 14 16 16 18 13 20 15 17 14 15
Avg Max Increase   -1.18% -0.96% -0.91% -2.03% -1.24% -0.98% -1.33% -2.49% -0.87% -1.01% -0.69%
Max Increase   -6.31% -2.83% -1.97% -4.89% -2.95% -3.98% -5.70% -11.54% -2.52% -2.51% -2.83%
Avg Days to Max Increase   6 5 6 7 11 5 8 10 5 6 4
2016 Contract Condition   Yes Yes       Yes       Yes  
Action   Yes No       No       Yes  
High 1205.10 1134.10 1044.90 1117.80 1156.05 1158.95 1190.15 1224.75 1251.35 1263.45 1254.10 1347.20
Low 1108.75 958.50 943.10 1035.50 1088.55 1085.95 1085.90 1131.70 1198.75 1206.05 1185.15 1156.10
Close/Last 1135.90 1035.40 1033.90 1114.05 1130.85 1154.80 1151.90 1219.95 1239.90 1251.65 1191.40 1322.35

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