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| ScenarioSM Study for March S & P 500(CME) as of Dec 31, 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 | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
| Tested Years | 25 | 27 | 28 | 28 | 28 | 28 | 28 | 28 | 28 | 28 | 28 | |
| Closed Higher | 16 | 17 | 14 | 11 | 19 | 13 | 17 | 19 | 21 | 18 | 16 | |
| Exceeded High | 16 | 14 | 9 | 10 | 14 | 13 | 14 | 19 | 21 | 16 | 12 | |
| Scenario Percentage | 100% | 82% | 64% | 91% | 74% | 100% | 82% | 100% | 100% | 89% | 75% | |
| Avg Max Increase | 4.87% | 4.59% | 6.96% | 4.02% | 5.40% | 5.59% | 7.69% | 5.20% | 5.16% | 4.98% | 3.21% | |
| Max Increase | 12.41% | 12.17% | 13.42% | 9.71% | 19.53% | 16.68% | 13.57% | 13.40% | 12.72% | 11.01% | 6.04% | |
| Avg Days To Max Increase | 14 | 18 | 18 | 15 | 14 | 19 | 18 | 14 | 14 | 13 | 11 | |
| Avg Max Decline | -1.52% | -1.45% | -1.03% | -1.68% | -1.62% | -2.74% | -1.54% | -1.82% | -2.09% | -1.47% | -0.69% | |
| Max Decline | -4.82% | -5.33% | -5.52% | -3.97% | -4.25% | -9.43% | -5.70% | -5.53% | -6.31% | -5.15% | -1.89% | |
| Avg Days to Max Decline | 9 | 11 | 7 | 9 | 10 | 7 | 7 | 14 | 6 | 6 | 3 | |
| 2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||
| Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
