MRCI Online
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| ScenarioSM Study for September S & P 500(CME) as of Jan 01, 2008 | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | |||||||||||
| Tested Month | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug |
| Tested Years | 22 | 24 | 25 | 25 | 25 | 25 | 25 | 26 | 26 | 26 | 26 |
| Closed Higher | 15 | 18 | 19 | 17 | 15 | 17 | 15 | 17 | 15 | 10 | 16 |
| Exceeded High | 14 | 18 | 18 | 15 | 12 | 14 | 15 | 15 | 10 | 9 | 11 |
| Scenario Percentage | 93% | 100% | 95% | 88% | 80% | 82% | 100% | 88% | 67% | 90% | 69% |
| Avg Max Increase | 7.45% | 5.20% | 5.54% | 6.00% | 4.98% | 6.09% | 4.81% | 4.25% | 5.43% | 3.19% | 2.54% |
| Max Increase | 13.89% | 13.82% | 12.33% | 13.22% | 9.38% | 14.02% | 12.53% | 12.17% | 11.83% | 6.01% | 5.66% |
| Avg Days To Max Increase | 20 | 16 | 16 | 15 | 13 | 18 | 16 | 17 | 18 | 14 | 10 |
| Avg Max Decline | -1.01% | -1.77% | -2.12% | -1.32% | -0.77% | -1.65% | -1.78% | -1.36% | -1.65% | -2.22% | -1.02% |
| Max Decline | -5.36% | -5.48% | -6.45% | -5.10% | -1.90% | -5.91% | -4.72% | -4.32% | -8.31% | -3.75% | -2.41% |
| Avg Days to Max Decline | 7 | 15 | 6 | 5 | 4 | 10 | 10 | 10 | 10 | 11 | 3 |
| 2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||
| Action | 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.
