MRCI Online
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| ScenarioSM Study for June S & P 500(CME) as of Dec 30, 2016 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | 31 | 34 | 34 | 34 | 34 | 34 | 34 | 34 | 34 | 34 | 35 | |
| Closed Higher | 14 | 21 | 16 | 22 | 24 | 25 | 21 | 22 | 23 | 23 | 23 | |
| Exceeded High | 13 | 15 | 15 | 18 | 23 | 24 | 19 | 19 | 19 | 21 | 16 | |
| Scenario Percentage | 93% | 71% | 94% | 82% | 96% | 96% | 90% | 86% | 83% | 91% | 70% | |
| Avg Max Increase | 4.12% | 5.38% | 5.91% | 6.86% | 5.26% | 5.57% | 5.94% | 5.04% | 6.34% | 4.47% | 2.32% | |
| Max Increase | 9.67% | 19.35% | 16.77% | 13.74% | 13.76% | 12.67% | 13.16% | 10.75% | 16.88% | 11.80% | 5.69% | |
| Avg Days To Max Increase | 19 | 15 | 18 | 21 | 18 | 17 | 18 | 17 | 18 | 11 | 7 | |
| Avg Max Decline | -1.79% | -1.89% | -2.21% | -1.12% | -1.76% | -1.77% | -1.17% | -1.19% | -1.71% | -1.37% | -0.38% | |
| Max Decline | -5.57% | -9.01% | -9.21% | -5.77% | -5.55% | -6.34% | -5.18% | -6.03% | -5.91% | -4.79% | -1.53% | |
| Avg Days to Max Decline | 9 | 10 | 7 | 9 | 14 | 7 | 6 | 5 | 9 | 5 | 2 | |
| 2016 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
| Action | No | Yes | No | Yes | Yes | Yes | ||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
