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ScenarioSM Study for March S & P 500(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 | 27 | 29 | 30 | 30 | 30 | 30 | 30 | 30 | 30 | 30 | 30 | |
Closed Higher | 18 | 17 | 14 | 12 | 19 | 14 | 19 | 20 | 23 | 20 | 18 | |
Exceeded High | 17 | 14 | 9 | 11 | 14 | 14 | 15 | 20 | 23 | 17 | 13 | |
Scenario Percentage | 94% | 82% | 64% | 92% | 74% | 100% | 79% | 100% | 100% | 85% | 72% | |
Avg Max Increase | 4.62% | 4.59% | 6.96% | 4.13% | 5.40% | 5.75% | 7.65% | 5.47% | 5.44% | 5.16% | 2.92% | |
Max Increase | 12.41% | 12.17% | 13.42% | 9.71% | 19.53% | 16.68% | 13.57% | 13.40% | 12.72% | 11.01% | 4.68% | |
Avg Days To Max Increase | 14 | 18 | 18 | 17 | 14 | 18 | 19 | 15 | 15 | 11 | 9 | |
Avg Max Decline | -1.45% | -1.45% | -1.03% | -2.03% | -1.62% | -2.60% | -1.48% | -1.65% | -1.87% | -1.28% | -0.71% | |
Max Decline | -4.82% | -5.33% | -5.52% | -5.51% | -4.25% | -9.43% | -5.70% | -5.53% | -6.31% | -5.15% | -2.38% | |
Avg Days to Max Decline | 9 | 11 | 7 | 11 | 10 | 7 | 7 | 13 | 6 | 5 | 2 | |
2012 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | No | Yes | Yes | Yes |
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