MRCI Online
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| ScenarioSM Study for March S & P 500(CME) as of Jan 01, 2010 | |||||||||||
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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 | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
| Tested Years | 24 | 26 | 27 | 27 | 27 | 27 | 27 | 27 | 27 | 27 | 27 |
| Closed Higher | 15 | 16 | 13 | 10 | 18 | 12 | 17 | 18 | 20 | 18 | 15 |
| Exceeded High | 15 | 13 | 8 | 9 | 13 | 12 | 14 | 18 | 20 | 16 | 11 |
| Scenario Percentage | 100% | 81% | 62% | 90% | 72% | 100% | 82% | 100% | 100% | 89% | 73% |
| Avg Max Increase | 4.56% | 4.25% | 6.15% | 3.38% | 5.19% | 5.60% | 7.69% | 5.19% | 5.25% | 5.09% | 3.05% |
| Max Increase | 12.41% | 12.17% | 11.98% | 6.04% | 19.53% | 16.68% | 13.57% | 13.40% | 12.72% | 11.24% | 4.87% |
| Avg Days To Max Increase | 15 | 17 | 16 | 15 | 13 | 20 | 18 | 14 | 14 | 13 | 11 |
| Avg Max Decline | -1.57% | -1.15% | -0.47% | -1.77% | -1.54% | -2.67% | -1.54% | -1.88% | -2.20% | -1.47% | -0.76% |
| Max Decline | -4.82% | -4.38% | -4.17% | -3.97% | -4.25% | -9.43% | -5.70% | -5.53% | -6.31% | -5.15% | -1.89% |
| Avg Days to Max Decline | 10 | 9 | 7 | 9 | 10 | 8 | 7 | 14 | 6 | 6 | 3 |
| 2009 Contract Condition | Yes | Yes | Yes | Yes | |||||||
| Action | Yes | No | No | Yes | |||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
