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ScenarioSM Study for September 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 | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug |
Tested Years | 3 | 3 | 3 | 14 | 14 | 14 | 14 | 14 | 14 | 15 | 15 | |
Closed Higher | 1 | 1 | 2 | 7 | 4 | 9 | 9 | 7 | 7 | 7 | 8 | |
Exceeded High | 1 | 2 | 3 | 4 | 7 | 8 | 7 | 5 | 6 | 7 | ||
Scenario Percentage | 0% | 100% | 100% | 43% | 100% | 78% | 89% | 100% | 71% | 86% | 88% | |
Avg Max Increase | 7.09% | 3.40% | 6.07% | 11.21% | 8.76% | 9.15% | 7.79% | 10.20% | 5.26% | 4.19% | ||
Max Increase | 7.09% | 5.06% | 13.43% | 13.60% | 17.38% | 14.22% | 14.72% | 13.12% | 8.95% | 6.73% | ||
Avg Days To Max Increase | 8 | 7 | 9 | 25 | 24 | 16 | 22 | 22 | 10 | 9 | ||
Avg Max Decline | 0.09% | -2.28% | 1.63% | -3.00% | -1.30% | -2.67% | -3.08% | -2.89% | -3.16% | -1.30% | ||
Max Decline | 0.09% | -5.53% | 0.84% | -6.20% | -6.15% | -8.94% | -5.88% | -5.71% | -6.41% | -2.52% | ||
Avg Days to Max Decline | 8 | 13 | 2 | 8 | 4 | 22 | 17 | 4 | 9 | 3 | ||
2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | Yes | Yes | Yes | No | Yes |
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