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| ScenarioSM Study for December NASDAQ 100(CME) as of Jan 01, 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 | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
| Tested Years | 2 | 2 | 2 | 13 | 13 | 13 | 14 | 14 | 14 | 14 | 14 | |
| Closed Higher | 1 | 8 | 7 | 8 | 6 | 8 | 9 | 9 | 11 | |||
| Exceeded High | 1 | 8 | 7 | 6 | 5 | 7 | 9 | 9 | 9 | |||
| Scenario Percentage | 100% | 100% | 100% | 75% | 83% | 88% | 100% | 100% | 82% | |||
| Avg Max Increase | 15.93% | 8.43% | 7.05% | 8.99% | 6.06% | 9.76% | 12.08% | 13.56% | 5.61% | |||
| Max Increase | 15.93% | 12.53% | 14.62% | 12.41% | 9.68% | 18.14% | 29.75% | 26.95% | 12.30% | |||
| Avg Days To Max Increase | 29 | 17 | 21 | 22 | 12 | 21 | 21 | 9 | 8 | |||
| Avg Max Decline | 1.05% | -2.27% | -2.35% | -1.10% | -2.20% | -2.11% | -4.50% | -1.14% | -0.99% | |||
| Max Decline | 1.05% | -7.11% | -3.60% | -4.73% | -5.35% | -4.34% | -21.51% | -2.40% | -3.34% | |||
| Avg Days to Max Decline | 1 | 18 | 15 | 3 | 6 | 14 | 8 | 2 | 2 | |||
| 2009 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
| Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
