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ScenarioSM Study for March S & P 500(CME) as of Oct 20, 2019 | ||||||||||||
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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 | 34 | 36 | 37 | 37 | 37 | 37 | 37 | 37 | 37 | 37 | 37 | |
Closed Higher | 24 | 23 | 19 | 18 | 24 | 18 | 23 | 27 | 27 | 24 | 24 | |
Exceeded High | 23 | 19 | 14 | 16 | 18 | 16 | 19 | 25 | 27 | 20 | 18 | |
Scenario Percentage | 96% | 83% | 74% | 89% | 75% | 89% | 83% | 93% | 100% | 83% | 75% | |
Avg Max Increase | 4.47% | 4.44% | 6.06% | 3.95% | 4.86% | 5.90% | 6.92% | 5.36% | 5.48% | 5.04% | 2.70% | |
Max Increase | 12.41% | 12.17% | 13.42% | 9.71% | 19.53% | 16.68% | 13.57% | 13.40% | 12.72% | 10.65% | 4.68% | |
Avg Days To Max Increase | 15 | 20 | 19 | 18 | 16 | 20 | 20 | 18 | 17 | 10 | 8 | |
Avg Max Decline | -1.42% | -1.63% | -1.20% | -1.96% | -1.90% | -2.37% | -1.34% | -1.75% | -1.76% | -1.19% | -0.73% | |
Max Decline | -4.82% | -5.33% | -5.52% | -5.51% | -9.06% | -9.43% | -5.70% | -5.53% | -6.31% | -5.15% | -2.38% | |
Avg Days to Max Decline | 9 | 14 | 9 | 11 | 11 | 7 | 10 | 13 | 6 | 6 | 2 | |
2019 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||
Action | Yes | Yes | Yes | Yes | Yes | No | No | Yes | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.