Russell 2000 Index - The Russell Hustle   Tuesday, February 23, 2010
By Jay Pasch
 The Russell 2000 small-cap index (RUT) printed a 9th consecutive day of gains on Monday with the bulls barely ekeing-out a closing gain of 0.60-points at 632.25. Today we compare the current 45.75-point rally of 7.8% with Russell's other historical rallies. In order to capture a sample-size of sufficient quantity, we will soften the input qualifiers for today's study as we ask: Q: What is the historical performance for RUT after the index records at least 5 consecutive daily gains of at least 0.5% with the 6th day gaining less than 0.5%? A: According to the 26 previous occurrences of this event, EventEdge indicates that RUT has shown a strong bullish edge that peaks 26 trading days after the event. Thus, the projected date for the peak of the bullish edge relative to the current event date (Friday, 19 February 2010) is Monday, 29 March 2010. RUT rallies in 96% of the cases (25 of 26) by an average of 7.5% relative to the close on the event date. The average of the 1 decline is -3.2%. The overall return of the 26 cases is 7.1%, which, based on the close of RUT on the event date (631.62), provides a target price of 676.47. This study was created outside of EventEdge so it cannot be viewed there. However, click here to launch the EventEdge® tool to try other event combinations. Mr. Jay Pasch is a private futures and equities trader based in Minnesota. He may hold positions in the instruments mentioned in his trading ideas.
Related Ideas:
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| | Let variable values:
@ = RUT
theEvent = IF
1 value percent_move of RUT is more than 0.5
repeated for the previous 5 values
AND
1 value percent_move of RUT is not more than 0.5
THEN 1
ENDIF
Date Day t+3 t+10 t+15 t+26 t+30
11/30/1979 Fri 1.1 4.7 5.1 8.1 11.5
01/15/1980 Tue 0.7 2.6 4.4 3.1 0.8
10/07/1980 Tue 1.0 1.0 -0.2 3.2 4.6
10/06/1981 Tue 3.2 2.7 2.4 6.2 4.3
08/27/1982 Fri 0.5 3.6 4.4 5.5 12.6
10/12/1982 Tue 2.4 3.9 8.4 13.0 11.8
01/11/1983 Tue 1.7 -1.2 1.9 7.0 6.7
02/01/1983 Tue 2.1 5.1 4.7 9.3 8.1
04/19/1983 Tue 1.7 2.8 7.9 10.8 10.5
06/17/1983 Fri 0.8 -0.2 -0.2 0.1 -5.1
02/11/1985 Mon 0.7 -0.9 0.1 -3.2 -4.1
01/13/1987 Tue 1.0 0.6 3.0 8.3 8.5
01/08/1988 Fri -2.1 -0.8 1.1 4.9 6.9
02/07/1991 Thu 2.1 4.2 6.7 9.5 9.7
03/06/1991 Wed -0.3 -0.9 1.7 5.2 6.3
01/02/1992 Thu 3.7 8.3 8.4 11.3 12.1
05/06/1997 Tue -0.1 1.8 4.4 7.7 8.5
10/21/1998 Wed 3.4 9.2 9.3 11.7 9.7
04/27/1999 Tue -0.5 2.7 1.7 0.2 2.3
01/24/2000 Mon -1.1 1.8 3.2 12.5 13.9
02/09/2000 Wed 0.7 3.4 9.0 7.2 7.1
12/29/2000 Fri -1.3 2.0 3.8 4.9 3.9
06/02/2003 Mon 3.2 3.4 -0.7 7.8 7.7
10/08/2003 Wed 2.3 -0.5 3.1 4.9 1.9
12/01/2008 Mon 5.4 8.5 13.9 20.4 8.7
09/11/2009 Fri 4.0 0.9 -2.3 4.8 1.2
02/19/2010 Fri NaN NaN NaN NaN NaN
Avg 1.4 2.6 4.1 7.1 6.5
AvgPos 2.1 3.7 4.9 7.5 7.5
AvgNeg -0.9 -0.7 -0.9 -3.2 -4.6
PctPos 76.9 76.9 84.6 96.2 92.3
PctNeg 23.1 23.1 15.4 3.8 7.7
Maximum 5.4 9.2 13.9 20.4 13.9
Minimum -2.1 -1.2 -2.3 -3.2 -5.1
StdDev 1.8 2.9 3.8 4.8 4.9
ZStat 0.8 0.9 1.1 1.5 1.3
Variance 3.1 8.3 14.2 22.6 23.6
27 Occurrences | |
No comments at this time. | 
