MRCI Online
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| ScenarioSM Study for Russell 2000 Index as of Dec 31, 2010 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | 31 | 32 | 32 | 32 | 32 | 32 | 32 | 32 | 32 | 32 | 32 | |
| Closed Higher | 17 | 17 | 22 | 21 | 21 | 20 | 16 | 19 | 17 | 17 | 21 | |
| Exceeded High | 14 | 15 | 22 | 17 | 18 | 15 | 15 | 17 | 14 | 15 | 20 | |
| Scenario Percentage | 82% | 88% | 100% | 81% | 86% | 75% | 94% | 89% | 82% | 88% | 95% | |
| Avg Max Increase | 6.85% | 7.87% | 6.85% | 7.57% | 5.57% | 7.36% | 6.56% | 5.63% | 7.73% | 8.91% | 3.88% | |
| 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 | 19 | 17 | 19 | 21 | 20 | 16 | 19 | 20 | 18 | |
| Avg Max Decline | -0.58% | -0.27% | -1.47% | -1.41% | -1.44% | -1.27% | -1.54% | -1.52% | -2.83% | -0.50% | -0.74% | |
| Max Decline | -3.42% | -5.02% | -4.71% | -4.55% | -5.59% | -6.84% | -9.57% | -4.22% | -16.43% | -2.68% | -3.68% | |
| Avg Days to Max Decline | 5 | 4 | 8 | 5 | 10 | 4 | 6 | 7 | 7 | 5 | 4 | |
| 2010 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.
