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ScenarioSM Study for S & P 100(OEX) 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 | 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 | 20 | 18 | 21 | 17 | 20 | 18 | 13 | 20 | 11 | 19 | 23 |
Exceeded High | 17 | 15 | 16 | 16 | 18 | 13 | 11 | 16 | 10 | 17 | 18 |
Scenario Percentage | 85% | 83% | 76% | 94% | 90% | 72% | 85% | 80% | 91% | 89% | 78% |
Avg Max Increase | 393.78% | 5.01% | 5.87% | 5.14% | 6.35% | 12.37% | 4.12% | 13.28% | 10.16% | 14.03% | 7.20% |
Max Increase | 5621.63% | 10.82% | 13.01% | 12.10% | 37.88% | 63.49% | 7.11% | 146.50% | 33.86% | 131.91% | 71.53% |
Avg Days To Max Increase | 18 | 18 | 18 | 18 | 20 | 18 | 15 | 14 | 20 | 19 | 16 |
Avg Max Decline | -10.15% | -1.21% | -1.73% | -8.16% | -3.74% | -2.86% | -1.56% | -4.25% | -1.71% | -2.34% | -0.98% |
Max Decline | -90.81% | -4.03% | -5.15% | -99.66% | -40.09% | -13.45% | -4.32% | -47.49% | -7.74% | -16.41% | -5.32% |
Avg Days to Max Decline | 7 | 8 | 10 | 11 | 12 | 9 | 9 | 9 | 8 | 9 | 4 |
2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
Action | Yes | Yes | No | Yes | Yes | Yes | No |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.