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ScenarioSM Study for March NASDAQ 100(CME) as of Jan 01, 2013 | ||||||||||||
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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 | 4 | 4 | 4 | 15 | 16 | 16 | 16 | 16 | 16 | 16 | 16 | |
Closed Higher | 4 | 2 | 1 | 8 | 8 | 10 | 11 | 11 | 7 | 9 | 6 | |
Exceeded High | 3 | 2 | 1 | 6 | 7 | 10 | 9 | 11 | 6 | 4 | 4 | |
Scenario Percentage | 75% | 100% | 100% | 75% | 88% | 100% | 82% | 100% | 86% | 44% | 67% | |
Avg Max Increase | 4.98% | 6.21% | 11.21% | 6.27% | 9.22% | 11.57% | 17.06% | 11.09% | 9.12% | 7.41% | 6.19% | |
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 | 8 | 17 | 28 | 15 | 19 | 22 | 18 | 15 | 13 | 14 | 12 | |
Avg Max Decline | -0.99% | -2.14% | -4.73% | -2.85% | -1.60% | -3.56% | -0.70% | -1.68% | -2.29% | 0.12% | -1.81% | |
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 | 14 | 20 | 8 | 10 | 14 | 9 | 6 | 11 | 4 | 1 | 5 | |
2012 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | No | No | Yes | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.