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ScenarioSM Study for December S & P 500(CME) as of Jan 01, 2018 | ||||||||||||
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Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | ||||||||||||
Tested Month | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
Tested Years | 31 | 35 | 35 | 35 | 36 | 36 | 36 | 36 | 36 | 36 | 36 | |
Closed Higher | 18 | 24 | 24 | 24 | 24 | 20 | 17 | 22 | 16 | 23 | 25 | |
Exceeded High | 16 | 21 | 21 | 23 | 20 | 16 | 16 | 16 | 15 | 18 | 19 | |
Scenario Percentage | 89% | 88% | 88% | 96% | 83% | 80% | 94% | 73% | 94% | 78% | 76% | |
Avg Max Increase | 6.05% | 4.69% | 5.81% | 4.52% | 4.35% | 5.43% | 3.77% | 5.12% | 6.09% | 5.87% | 2.40% | |
Max Increase | 13.15% | 10.77% | 16.75% | 12.49% | 12.15% | 13.41% | 9.74% | 19.72% | 16.59% | 11.44% | 4.35% | |
Avg Days To Max Increase | 17 | 15 | 18 | 15 | 19 | 17 | 18 | 15 | 21 | 11 | 7 | |
Avg Max Decline | -0.83% | -0.92% | -1.53% | -1.46% | -1.69% | -1.36% | -2.14% | -2.02% | -2.39% | -1.03% | -0.64% | |
Max Decline | -5.09% | -5.84% | -6.03% | -4.65% | -5.27% | -5.48% | -5.54% | -9.02% | -9.45% | -3.88% | -1.62% | |
Avg Days to Max Decline | 6 | 5 | 8 | 9 | 15 | 8 | 12 | 10 | 7 | 6 | 3 | |
2017 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
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