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ScenarioSM Study for March NASDAQ 100(CME) as of Dec 31, 2010 | ||||||||||||
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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 | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
Tested Years | 2 | 2 | 2 | 13 | 14 | 14 | 14 | 14 | 14 | 14 | 14 | |
Closed Higher | 2 | 2 | 1 | 6 | 8 | 9 | 9 | 11 | 6 | 7 | 4 | |
Exceeded High | 2 | 2 | 1 | 5 | 7 | 9 | 8 | 11 | 5 | 2 | 3 | |
Scenario Percentage | 100% | 100% | 100% | 83% | 88% | 100% | 89% | 100% | 83% | 29% | 75% | |
Avg Max Increase | 7.29% | 6.21% | 11.21% | 5.81% | 9.22% | 11.75% | 18.49% | 11.09% | 9.25% | 6.99% | 8.59% | |
Max Increase | 7.65% | 11.39% | 11.21% | 9.62% | 17.17% | 29.81% | 41.20% | 35.77% | 16.77% | 12.73% | 12.19% | |
Avg Days To Max Increase | 7 | 17 | 28 | 12 | 19 | 24 | 17 | 15 | 12 | 14 | 14 | |
Avg Max Decline | -0.91% | -2.14% | -4.73% | -2.39% | -1.60% | -3.79% | -0.59% | -1.68% | -2.79% | 0.42% | -1.70% | |
Max Decline | -3.63% | -2.47% | -4.73% | -5.34% | -2.82% | -20.93% | -3.91% | -4.51% | -12.63% | -0.72% | -6.48% | |
Avg Days to Max Decline | 18 | 20 | 8 | 6 | 14 | 9 | 4 | 11 | 4 | 1 | 5 | |
2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
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