MRCI Online
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| ScenarioSM Study for Russell 2000 Index as of Dec 31, 1999 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | 20 | 21 | 21 | 21 | 21 | 21 | 21 | 21 | 21 | 21 | 21 | |
| Closed Higher | 13 | 13 | 15 | 14 | 14 | 13 | 11 | 13 | 11 | 10 | 13 | |
| Exceeded High | 11 | 11 | 15 | 12 | 12 | 11 | 10 | 12 | 9 | 9 | 12 | |
| Scenario Percentage | 85% | 85% | 100% | 86% | 86% | 85% | 91% | 92% | 82% | 90% | 92% | |
| Avg Max Increase | 7.61% | 7.60% | 5.60% | 6.93% | 5.04% | 6.35% | 6.33% | 5.21% | 7.75% | 7.88% | 3.21% | |
| Max Increase | 18.63% | 12.21% | 15.57% | 15.71% | 15.48% | 18.80% | 15.99% | 19.44% | 24.42% | 16.47% | 9.94% | |
| Avg Days To Max Increase | 16 | 22 | 20 | 21 | 18 | 22 | 21 | 14 | 19 | 20 | 17 | |
| Avg Max Decline | -0.17% | -0.24% | -1.58% | -1.43% | -1.02% | -0.90% | -0.43% | -1.01% | -2.95% | 0.07% | -0.54% | |
| Max Decline | -2.89% | -2.12% | -4.71% | -4.55% | -3.18% | -6.33% | -2.01% | -3.72% | -16.43% | -0.89% | -2.55% | |
| Avg Days to Max Decline | 5 | 3 | 11 | 5 | 8 | 5 | 4 | 6 | 7 | 4 | 5 | |
| 2009 Contract Condition | ||||||||||||
| Action | ||||||||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
