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ScenarioSM Study for June 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 | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May |
Tested Years | 22 | 25 | 25 | 25 | 25 | 25 | 25 | 25 | 25 | 25 | 26 |
Closed Higher | 9 | 16 | 11 | 16 | 18 | 19 | 18 | 15 | 17 | 15 | 17 |
Exceeded High | 9 | 11 | 10 | 14 | 18 | 18 | 16 | 12 | 14 | 14 | 13 |
Scenario Percentage | 100% | 69% | 91% | 88% | 100% | 95% | 89% | 80% | 82% | 93% | 76% |
Avg Max Increase | 3.16% | 5.47% | 6.16% | 7.46% | 5.23% | 5.57% | 5.87% | 4.99% | 6.12% | 4.40% | 2.17% |
Max Increase | 5.86% | 19.35% | 16.77% | 13.74% | 13.76% | 12.67% | 13.16% | 9.51% | 14.04% | 11.80% | 5.51% |
Avg Days To Max Increase | 18 | 14 | 21 | 20 | 16 | 16 | 17 | 13 | 18 | 9 | 6 |
Avg Max Decline | -1.31% | -1.25% | -2.74% | -1.22% | -1.86% | -2.25% | -1.44% | -0.81% | -1.72% | -1.57% | -0.33% |
Max Decline | -3.05% | -3.31% | -9.21% | -5.77% | -5.55% | -6.34% | -5.18% | -1.92% | -5.91% | -4.79% | -1.32% |
Avg Days to Max Decline | 5 | 8 | 9 | 7 | 15 | 6 | 5 | 4 | 9 | 4 | 1 |
2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
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