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ScenarioSM Study for March S & P 500(CME) as of Jan 01, 2018 | ||||||||||||
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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 | 32 | 34 | 35 | 35 | 35 | 35 | 35 | 35 | 35 | 35 | 35 | |
Closed Higher | 22 | 21 | 17 | 16 | 22 | 16 | 22 | 25 | 26 | 22 | 23 | |
Exceeded High | 21 | 17 | 12 | 14 | 16 | 15 | 18 | 24 | 26 | 20 | 17 | |
Scenario Percentage | 95% | 81% | 71% | 88% | 73% | 94% | 82% | 96% | 100% | 91% | 74% | |
Avg Max Increase | 4.49% | 4.48% | 6.24% | 4.04% | 5.09% | 5.91% | 7.04% | 5.22% | 5.40% | 5.00% | 2.89% | |
Max Increase | 12.41% | 12.17% | 13.42% | 9.71% | 19.53% | 16.68% | 13.57% | 13.40% | 12.72% | 11.01% | 4.68% | |
Avg Days To Max Increase | 15 | 19 | 19 | 17 | 15 | 19 | 19 | 17 | 16 | 11 | 9 | |
Avg Max Decline | -1.40% | -1.78% | -1.30% | -2.04% | -2.02% | -2.55% | -1.38% | -1.77% | -1.83% | -1.26% | -0.73% | |
Max Decline | -4.82% | -5.33% | -5.52% | -5.51% | -9.06% | -9.43% | -5.70% | -5.53% | -6.31% | -5.15% | -2.38% | |
Avg Days to Max Decline | 9 | 12 | 10 | 11 | 11 | 7 | 9 | 14 | 7 | 6 | 2 | |
2017 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||
Action | Yes | Yes | Yes | Yes | No | Yes | Yes | Yes | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.