|
ScenarioSM Study for June S & P 500(CME) as of Dec 30, 2011 | ||||||||||||
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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 | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May |
Tested Years | 26 | 29 | 29 | 29 | 29 | 29 | 29 | 29 | 29 | 29 | 30 | |
Closed Higher | 11 | 19 | 14 | 18 | 20 | 22 | 19 | 17 | 19 | 19 | 19 | |
Exceeded High | 11 | 13 | 13 | 15 | 20 | 21 | 17 | 14 | 16 | 17 | 14 | |
Scenario Percentage | 100% | 68% | 93% | 83% | 100% | 95% | 89% | 82% | 84% | 89% | 74% | |
Avg Max Increase | 3.94% | 5.75% | 6.00% | 7.44% | 5.50% | 5.48% | 5.80% | 5.28% | 6.69% | 4.61% | 2.45% | |
Max Increase | 9.67% | 19.35% | 16.77% | 13.74% | 13.76% | 12.67% | 13.16% | 10.75% | 16.88% | 11.80% | 5.69% | |
Avg Days To Max Increase | 19 | 15 | 19 | 21 | 17 | 15 | 17 | 15 | 17 | 10 | 7 | |
Avg Max Decline | -1.66% | -1.44% | -2.40% | -1.18% | -1.61% | -1.85% | -1.32% | -1.10% | -1.62% | -1.39% | -0.37% | |
Max Decline | -5.57% | -3.31% | -9.21% | -5.77% | -5.55% | -6.34% | -5.18% | -6.03% | -5.91% | -4.79% | -1.53% | |
Avg Days to Max Decline | 8 | 8 | 7 | 8 | 14 | 6 | 5 | 5 | 8 | 4 | 2 | |
2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
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