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| ScenarioSM Study for September 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 | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug |
| Tested Years | 28 | 30 | 31 | 31 | 31 | 31 | 31 | 32 | 32 | 32 | 32 | |
| Closed Higher | 18 | 21 | 24 | 20 | 19 | 21 | 20 | 20 | 17 | 14 | 19 | |
| Exceeded High | 15 | 21 | 23 | 18 | 16 | 18 | 19 | 17 | 12 | 13 | 13 | |
| Scenario Percentage | 83% | 100% | 96% | 90% | 84% | 86% | 95% | 85% | 71% | 93% | 68% | |
| Avg Max Increase | 7.43% | 5.53% | 5.72% | 6.04% | 5.20% | 6.40% | 4.86% | 4.53% | 6.06% | 3.93% | 2.85% | |
| Max Increase | 13.89% | 13.82% | 12.33% | 13.22% | 10.71% | 16.76% | 12.53% | 12.17% | 13.44% | 9.20% | 5.66% | |
| Avg Days To Max Increase | 21 | 17 | 16 | 17 | 15 | 17 | 15 | 18 | 19 | 15 | 11 | |
| Avg Max Decline | -0.99% | -1.55% | -1.48% | -1.05% | -1.11% | -1.49% | -1.52% | -1.76% | -2.05% | -2.42% | -1.14% | |
| Max Decline | -5.36% | -5.48% | -6.45% | -5.10% | -5.79% | -5.91% | -4.72% | -5.26% | -8.31% | -5.54% | -2.80% | |
| Avg Days to Max Decline | 7 | 14 | 6 | 5 | 5 | 9 | 8 | 12 | 10 | 13 | 3 | |
| 2013 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.
