MRCI Online
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| ScenarioSM Study for Russell 2000 Index as of Jan 01, 2018 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | 38 | 39 | 39 | 39 | 39 | 39 | 39 | 39 | 39 | 39 | 39 | |
| Closed Higher | 20 | 24 | 27 | 24 | 25 | 24 | 19 | 22 | 21 | 22 | 26 | |
| Exceeded High | 17 | 22 | 26 | 20 | 22 | 18 | 18 | 20 | 17 | 19 | 25 | |
| Scenario Percentage | 85% | 92% | 96% | 83% | 88% | 75% | 95% | 91% | 81% | 86% | 96% | |
| Avg Max Increase | 6.62% | 6.88% | 6.37% | 6.83% | 5.66% | 6.58% | 6.13% | 5.27% | 7.46% | 7.97% | 3.61% | |
| 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 | 16 | 19 | 19 | 15 | 19 | 20 | 21 | 15 | 20 | 19 | 17 | |
| Avg Max Decline | -0.64% | -1.06% | -1.72% | -1.64% | -1.74% | -1.34% | -1.87% | -1.48% | -3.12% | -0.93% | -0.95% | |
| Max Decline | -3.42% | -5.77% | -5.59% | -4.55% | -5.97% | -6.84% | -9.57% | -4.22% | -16.43% | -3.32% | -3.78% | |
| Avg Days to Max Decline | 8 | 5 | 10 | 6 | 11 | 5 | 8 | 7 | 11 | 8 | 4 | |
| 2017 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
| Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
