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ScenarioSM Study for Russell 2000 Index as of Sep 29, 2023 | ||||||||||||
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Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | ||||||||||||
Tested Month | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct |
Tested Years | 43 | 44 | 44 | 44 | 44 | 44 | 44 | 44 | 44 | 44 | 44 | |
Closed Higher | 33 | 24 | 27 | 30 | 28 | 28 | 28 | 23 | 25 | 22 | 26 | |
Exceeded High | 32 | 20 | 25 | 27 | 24 | 25 | 21 | 21 | 22 | 18 | 23 | |
Scenario Percentage | 97% | 83% | 93% | 90% | 86% | 89% | 75% | 91% | 88% | 82% | 88% | |
Avg Max Increase | 7.43% | 6.97% | 6.59% | 6.43% | 7.09% | 5.72% | 6.56% | 6.22% | 5.15% | 7.38% | 5.98% | |
Max Increase | 21.03% | 18.63% | 18.68% | 21.06% | 17.32% | 15.48% | 18.80% | 15.99% | 19.44% | 24.42% | 21.04% | |
Avg Days To Max Increase | 17 | 17 | 20 | 19 | 14 | 17 | 21 | 20 | 15 | 20 | 21 | |
Avg Max Decline | -2.15% | -0.71% | -1.58% | -1.77% | -2.13% | -1.55% | -1.45% | -1.69% | -1.95% | -3.17% | -0.84% | |
Max Decline | -7.37% | -3.42% | -5.77% | -5.59% | -9.88% | -5.97% | -6.84% | -9.57% | -8.28% | -16.43% | -4.84% | |
Avg Days to Max Decline | 8 | 9 | 6 | 10 | 6 | 11 | 6 | 7 | 8 | 10 | 5 | |
2023 Contract Condition | Yes | Yes | Yes | |||||||||
Action | Yes | Yes | No |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.