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| ScenarioSM Study for September NASDAQ 100(CME) as of Dec 30, 2011 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | ||||||||||||
| Tested Month | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug |
| Tested Years | 4 | 4 | 4 | 15 | 15 | 15 | 15 | 15 | 15 | 16 | 16 | |
| Closed Higher | 2 | 1 | 3 | 8 | 5 | 9 | 10 | 7 | 7 | 8 | 8 | |
| Exceeded High | 1 | 1 | 3 | 4 | 5 | 7 | 8 | 7 | 5 | 6 | 7 | |
| Scenario Percentage | 50% | 100% | 100% | 50% | 100% | 78% | 80% | 100% | 71% | 75% | 88% | |
| Avg Max Increase | 5.53% | 7.09% | 4.97% | 5.81% | 9.49% | 8.76% | 9.15% | 7.79% | 10.20% | 5.11% | 3.99% | |
| Max Increase | 5.53% | 7.09% | 8.12% | 13.43% | 13.60% | 17.38% | 14.22% | 14.72% | 13.12% | 8.95% | 6.73% | |
| Avg Days To Max Increase | 22 | 8 | 10 | 11 | 26 | 24 | 16 | 22 | 22 | 10 | 9 | |
| Avg Max Decline | -1.43% | 0.09% | -1.07% | 1.65% | -3.62% | -1.30% | -2.67% | -3.08% | -2.89% | -3.16% | -1.30% | |
| Max Decline | -1.43% | 0.09% | -5.53% | 0.84% | -6.20% | -6.15% | -8.94% | -5.88% | -5.71% | -6.41% | -2.52% | |
| Avg Days to Max Decline | 16 | 8 | 10 | 1 | 9 | 4 | 22 | 17 | 4 | 9 | 3 | |
| 2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
| Action | Yes | Yes | Yes | Yes | No | Not Yet | ||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
