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| ScenarioSM Study for June S & P 500(CME) as of Jan 01, 2014 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | ||||||||||||
| Tested Month | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May |
| Tested Years | 28 | 31 | 31 | 31 | 31 | 31 | 31 | 31 | 31 | 31 | 32 | |
| Closed Higher | 12 | 20 | 15 | 19 | 21 | 24 | 21 | 19 | 21 | 20 | 20 | |
| Exceeded High | 12 | 14 | 14 | 15 | 21 | 23 | 19 | 16 | 17 | 18 | 14 | |
| Scenario Percentage | 100% | 70% | 93% | 79% | 100% | 96% | 90% | 84% | 81% | 90% | 70% | |
| Avg Max Increase | 4.21% | 5.70% | 5.73% | 7.44% | 5.57% | 5.75% | 5.94% | 5.22% | 6.76% | 4.80% | 2.61% | |
| Max Increase | 9.67% | 19.35% | 16.77% | 13.74% | 13.76% | 12.67% | 13.16% | 10.75% | 16.88% | 12.31% | 6.00% | |
| Avg Days To Max Increase | 19 | 14 | 18 | 21 | 17 | 16 | 18 | 17 | 18 | 12 | 9 | |
| Avg Max Decline | -1.67% | -1.38% | -2.23% | -1.18% | -1.62% | -1.59% | -1.17% | -1.15% | -1.65% | -1.42% | -0.37% | |
| Max Decline | -5.57% | -3.31% | -9.21% | -5.77% | -5.55% | -6.34% | -5.18% | -6.03% | -5.91% | -4.79% | -1.53% | |
| Avg Days to Max Decline | 8 | 8 | 7 | 8 | 14 | 6 | 6 | 5 | 8 | 6 | 2 | |
| 2013 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||
| Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Not Yet | ||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
