MRCI Online
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| ScenarioSM Study for June S & P 500(CME) as of Jan 01, 2009 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | ||||||||||||
| Tested Month | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May |
| Tested Years | 23 | 26 | 26 | 26 | 26 | 26 | 26 | 26 | 26 | 26 | 27 | |
| Closed Higher | 9 | 17 | 12 | 17 | 18 | 19 | 18 | 15 | 17 | 16 | 18 | |
| Exceeded High | 9 | 12 | 11 | 14 | 18 | 18 | 16 | 12 | 14 | 15 | 13 | |
| Scenario Percentage | 100% | 71% | 92% | 82% | 100% | 95% | 89% | 80% | 82% | 94% | 72% | |
| Avg Max Increase | 3.16% | 5.55% | 5.89% | 7.46% | 5.23% | 5.57% | 5.87% | 4.99% | 6.12% | 4.61% | 2.46% | |
| Max Increase | 5.86% | 19.35% | 16.77% | 13.74% | 13.76% | 12.67% | 13.16% | 9.51% | 14.04% | 11.98% | 5.69% | |
| Avg Days To Max Increase | 18 | 14 | 20 | 20 | 16 | 16 | 17 | 13 | 18 | 13 | 9 | |
| Avg Max Decline | -1.31% | -1.34% | -2.43% | -1.22% | -1.86% | -2.25% | -1.44% | -0.81% | -1.72% | -1.56% | -0.39% | |
| Max Decline | -3.05% | -3.31% | -9.21% | -5.77% | -5.55% | -6.34% | -5.18% | -1.92% | -5.91% | -4.79% | -1.53% | |
| Avg Days to Max Decline | 5 | 8 | 8 | 7 | 15 | 6 | 5 | 4 | 9 | 7 | 2 | |
| 2008 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
| Action | Yes | Yes | No | Yes | Not Yet | |||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
