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ScenarioSM Study for December 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 | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
Tested Years | 5 | 5 | 5 | 16 | 16 | 16 | 17 | 17 | 17 | 17 | 17 | |
Closed Higher | 2 | 3 | 3 | 10 | 7 | 9 | 9 | 9 | 11 | 11 | 12 | |
Exceeded High | 2 | 3 | 3 | 8 | 7 | 7 | 7 | 8 | 10 | 10 | 10 | |
Scenario Percentage | 100% | 100% | 100% | 80% | 100% | 78% | 78% | 89% | 91% | 91% | 83% | |
Avg Max Increase | 8.90% | 7.07% | 7.33% | 8.43% | 7.05% | 8.73% | 6.97% | 9.03% | 11.88% | 12.69% | 5.18% | |
Max Increase | 12.73% | 12.94% | 15.93% | 12.53% | 14.62% | 12.41% | 9.68% | 18.14% | 29.75% | 26.95% | 12.30% | |
Avg Days To Max Increase | 22 | 18 | 18 | 17 | 21 | 22 | 16 | 21 | 20 | 10 | 9 | |
Avg Max Decline | 1.29% | -2.13% | 0.28% | -2.27% | -2.35% | -1.41% | -2.57% | -1.97% | -4.22% | -1.21% | -1.10% | |
Max Decline | 0.86% | -6.09% | -0.19% | -7.11% | -3.60% | -4.73% | -5.97% | -4.34% | -21.51% | -2.40% | -3.34% | |
Avg Days to Max Decline | 1 | 7 | 1 | 18 | 15 | 4 | 8 | 13 | 7 | 4 | 3 | |
2012 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
Action | Yes | Yes | Yes | Yes | Yes | Yes | No | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.