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ScenarioSM Study for March S & P 500(CME) as of Jan 01, 2008 | |||||||||||
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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 | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
Tested Years | 22 | 24 | 25 | 25 | 25 | 25 | 25 | 25 | 25 | 25 | 25 |
Closed Higher | 13 | 14 | 13 | 10 | 16 | 11 | 16 | 18 | 19 | 18 | 15 |
Exceeded High | 13 | 12 | 8 | 9 | 12 | 11 | 14 | 18 | 19 | 15 | 11 |
Scenario Percentage | 100% | 86% | 62% | 90% | 75% | 100% | 88% | 100% | 100% | 83% | 73% |
Avg Max Increase | 4.69% | 4.51% | 6.15% | 3.38% | 5.09% | 5.82% | 7.69% | 5.19% | 5.28% | 5.07% | 2.84% |
Max Increase | 12.41% | 12.17% | 11.98% | 6.04% | 19.53% | 16.68% | 13.57% | 13.40% | 12.72% | 11.01% | 4.65% |
Avg Days To Max Increase | 16 | 17 | 16 | 15 | 13 | 21 | 18 | 14 | 15 | 11 | 9 |
Avg Max Decline | -1.77% | -0.96% | -0.47% | -1.77% | -1.48% | -2.96% | -1.54% | -1.88% | -2.30% | -1.42% | -0.63% |
Max Decline | -4.82% | -4.38% | -4.17% | -3.97% | -4.25% | -9.43% | -5.70% | -5.53% | -6.31% | -5.15% | -1.89% |
Avg Days to Max Decline | 11 | 7 | 7 | 9 | 10 | 8 | 7 | 14 | 6 | 5 | 2 |
2007 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.