Moore Research Center, Inc.

  • Increase font size
  • Default font size
  • Decrease font size
Home MRCI Online
Print
New Windows

MRCI's Scenario Study

MRCI Logo
MRCI's ScenarioSM Study
ScenarioSM Study for Russell 2000 Index as of Jun 01, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Feb
Tested Years 32 32 32 32 32 32 32 32 32 32 32
Closed Higher 18 17 22 21 21 20 16 19 17 17 20
Exceeded High 15 15 22 17 18 15 15 17 14 14 19
Scenario Percentage 83% 88% 100% 81% 86% 75% 94% 89% 82% 82% 95%
Avg Max Increase 6.81% 7.87% 6.85% 7.57% 5.57% 7.36% 6.56% 5.63% 7.44% 8.63% 3.60%
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 18 19 19 17 19 21 20 16 19 19 18
Avg Max Decline -0.74% -0.27% -1.47% -1.41% -1.45% -1.27% -1.54% -1.52% -2.83% -0.43% -0.77%
Max Decline -3.42% -5.02% -4.71% -4.55% -5.59% -6.84% -9.57% -4.22% -16.43% -2.68% -3.68%
Avg Days to Max Decline 6 4 8 5 10 4 6 7 7 5 5
2010 Contract Condition   Yes Yes Yes     Yes   Yes Yes  
Action   Yes Yes No     Yes   Yes    
Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.
Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Feb
Tested Years 32 32 32 32 32 32 32 32 32 32 32
Closed Lower 14 15 10 11 11 12 16 13 14 15 12
Penetrated Low 9 11 6 7 7 10 11 10 10 9 10
Scenario Percentage 64% 73% 60% 64% 64% 83% 69% 77% 71% 60% 83%
Avg Max Decline 8.29% 8.33% 6.54% 4.92% 9.73% 8.79% 11.13% 10.21% 14.64% 7.39% 16.04%
Max Decline 22.77% 23.07% 18.09% 12.38% 27.36% 23.46% 22.94% 20.26% 45.37% 30.93% 30.33%
Avg Days To Max Decline 14 14 16 19 20 14 18 16 19 13 16
Avg Max Increase -1.32% -0.95% -0.76% -2.29% -1.59% -0.69% -1.01% -2.68% -0.93% -0.96% -3.45%
Max Increase -6.31% -2.83% -1.97% -4.89% -2.95% -2.73% -3.53% -11.54% -2.52% -2.51% -11.19%
Avg Days to Max Increase 6 5 7 10 14 5 6 11 5 6 21
2010 Contract Condition Yes       Yes Yes   Yes      
Action Yes       Yes Yes   Not Yet      
High 649.15 633.55 693.30 745.95 732.85 677.15 672.15 664.45 684.60 711.45  
Low 600.50 580.50 628.55 677.75 617.65 607.30 587.60 588.60 602.05 666.00  
Close/Last 602.05 628.55 678.65 716.60 661.60 609.50 650.90 602.05 676.15 703.15  

Banner

Login

Main Menu

MRCI Online

Free Links

Newsflash

For those who "research their trades" via historical daily charts, Research Director Nick Colley wants
to give you a taste of enhancements forthcoming to the Traders Desk
Reference (TDR) section of the MRCI web site.  Click on the following
address and you will be directed to the test section for Soybeans:

http://www.mrci.com/client/tdr/s/index.php

Remember this is only a test section, but it is intended to be the model
for all other futures.  You can use the "mouse-over" function, the table
includes seasonal patterns, weekly and monthly contract continuation
charts, and by clicking on the year in the "History Range" row, a table
will appear with each year in the data base.  Click again and find the
daily chart for that contract for that year.  Enjoy!