MRCI Online
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| ScenarioSM Study for Russell 2000 Index as of Jan 01, 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 | |
| 2015 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
| Action | Yes | Yes | Yes | No | Yes | Yes | ||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
