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| ScenarioSM Study for March S & P 500(CME) as of Jan 01, 2015 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | 29 | 31 | 32 | 32 | 32 | 32 | 32 | 32 | 32 | 32 | 32 | |
| Closed Higher | 19 | 18 | 15 | 14 | 20 | 16 | 20 | 22 | 25 | 21 | 20 | |
| Exceeded High | 18 | 15 | 10 | 13 | 15 | 15 | 16 | 22 | 25 | 19 | 15 | |
| Scenario Percentage | 95% | 83% | 67% | 93% | 75% | 94% | 80% | 100% | 100% | 90% | 75% | |
| Avg Max Increase | 4.68% | 4.57% | 6.74% | 4.27% | 5.37% | 5.91% | 7.54% | 5.41% | 5.37% | 5.20% | 3.19% | |
| Max Increase | 12.41% | 12.17% | 13.42% | 9.71% | 19.53% | 16.68% | 13.57% | 13.40% | 12.72% | 11.29% | 6.30% | |
| Avg Days To Max Increase | 14 | 18 | 18 | 17 | 14 | 19 | 20 | 16 | 16 | 14 | 12 | |
| Avg Max Decline | -1.42% | -1.65% | -1.18% | -2.10% | -1.55% | -2.55% | -1.41% | -1.69% | -1.90% | -1.30% | -0.86% | |
| 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 | 8 | 12 | 7 | 12 | 9 | 7 | 7 | 14 | 7 | 6 | 3 | |
| 2014 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.
