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ScenarioSM Study for S & P Midcap 400 Index as of Jan 01, 2008 | ||||||||||||
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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 | 26 | 27 | 27 | 27 | 27 | 27 | 27 | 27 | 27 | 27 | 27 | |
Closed Higher | 17 | 17 | 21 | 17 | 18 | 17 | 10 | 15 | 14 | 18 | 18 | |
Exceeded High | 16 | 16 | 17 | 15 | 16 | 14 | 10 | 11 | 12 | 15 | 17 | |
Scenario Percentage | 94% | 94% | 81% | 88% | 89% | 82% | 100% | 73% | 86% | 83% | 94% | |
Avg Max Increase | 5.59% | 6.16% | 6.21% | 6.81% | 4.84% | 5.53% | 5.06% | 5.07% | 6.83% | 7.66% | 3.38% | |
Max Increase | 13.42% | 12.73% | 15.90% | 13.40% | 12.75% | 12.88% | 12.40% | 15.38% | 17.53% | 14.14% | 7.76% | |
Avg Days To Max Increase | 19 | 20 | 22 | 18 | 18 | 17 | 14 | 18 | 19 | 20 | 17 | |
Avg Max Decline | -0.66% | -0.47% | -1.49% | -1.15% | -1.18% | -0.74% | -1.68% | -1.58% | -2.49% | -1.15% | -0.50% | |
Max Decline | -3.57% | -3.47% | -5.21% | -4.59% | -6.31% | -6.04% | -4.61% | -3.68% | -12.49% | -4.63% | -2.57% | |
Avg Days to Max Decline | 6 | 9 | 10 | 5 | 10 | 7 | 8 | 10 | 8 | 7 | 6 | |
2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | No |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.