MRCI Online
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| ScenarioSM Study for Russell 2000 Index as of Jan 01, 2007 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | 27 | 28 | 28 | 28 | 28 | 28 | 28 | 28 | 28 | 28 | 28 | |
| Closed Higher | 16 | 16 | 19 | 17 | 18 | 19 | 13 | 16 | 14 | 15 | 19 | |
| Exceeded High | 13 | 14 | 19 | 14 | 15 | 14 | 12 | 15 | 12 | 14 | 18 | |
| Scenario Percentage | 81% | 88% | 100% | 82% | 83% | 74% | 92% | 94% | 86% | 93% | 95% | |
| Avg Max Increase | 7.09% | 7.10% | 5.98% | 7.65% | 5.65% | 6.74% | 6.16% | 5.26% | 7.76% | 8.63% | 3.26% | |
| Max Increase | 18.63% | 12.21% | 20.97% | 16.82% | 15.48% | 18.80% | 15.99% | 19.44% | 24.42% | 16.47% | 9.94% | |
| Avg Days To Max Increase | 16 | 19 | 19 | 20 | 19 | 21 | 19 | 15 | 20 | 19 | 17 | |
| Avg Max Decline | -0.62% | -0.28% | -1.56% | -1.38% | -1.00% | -0.88% | -0.81% | -1.22% | -3.18% | -0.43% | -0.82% | |
| Max Decline | -3.42% | -5.02% | -4.71% | -4.55% | -3.18% | -6.33% | -5.47% | -3.72% | -16.43% | -2.68% | -3.68% | |
| Avg Days to Max Decline | 5 | 4 | 10 | 5 | 9 | 4 | 4 | 7 | 8 | 5 | 5 | |
| 2006 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
| Action | Yes | Yes | No | Yes | Yes | Yes | Yes | |||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
