|
ScenarioSM Study for September S & P 500(CME) as of Jan 01, 2018 | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
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 | 32 | 34 | 35 | 35 | 35 | 35 | 35 | 36 | 36 | 36 | 36 | |
Closed Higher | 21 | 25 | 26 | 21 | 23 | 24 | 24 | 24 | 20 | 17 | 22 | |
Exceeded High | 18 | 24 | 25 | 19 | 20 | 21 | 23 | 21 | 15 | 14 | 14 | |
Scenario Percentage | 86% | 96% | 96% | 90% | 87% | 88% | 96% | 88% | 75% | 82% | 64% | |
Avg Max Increase | 6.86% | 5.21% | 5.56% | 6.02% | 4.85% | 5.87% | 4.61% | 4.24% | 5.53% | 3.28% | 2.19% | |
Max Increase | 13.89% | 13.82% | 12.33% | 13.22% | 10.71% | 16.76% | 12.53% | 12.17% | 13.44% | 6.47% | 5.60% | |
Avg Days To Max Increase | 21 | 18 | 17 | 16 | 15 | 18 | 16 | 19 | 19 | 12 | 8 | |
Avg Max Decline | -0.96% | -1.65% | -1.57% | -1.01% | -0.99% | -1.55% | -1.51% | -1.83% | -1.97% | -1.54% | -0.99% | |
Max Decline | -5.36% | -5.48% | -6.45% | -5.10% | -5.79% | -5.91% | -4.72% | -5.26% | -8.31% | -3.49% | -2.80% | |
Avg Days to Max Decline | 9 | 14 | 7 | 5 | 4 | 9 | 10 | 14 | 11 | 8 | 3 | |
2017 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
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