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ScenarioSM Study for June S & P 500(CME) as of Jan 01, 2016 | ||||||||||||
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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 | 30 | 33 | 33 | 33 | 33 | 33 | 33 | 33 | 33 | 33 | 34 | |
Closed Higher | 13 | 21 | 16 | 21 | 23 | 25 | 21 | 21 | 22 | 22 | 22 | |
Exceeded High | 13 | 15 | 15 | 17 | 23 | 24 | 19 | 18 | 18 | 20 | 15 | |
Scenario Percentage | 100% | 71% | 94% | 81% | 100% | 96% | 90% | 86% | 82% | 91% | 68% | |
Avg Max Increase | 4.12% | 5.38% | 5.91% | 7.16% | 5.26% | 5.57% | 5.94% | 4.83% | 6.55% | 4.64% | 2.53% | |
Max Increase | 9.67% | 19.35% | 16.77% | 13.74% | 13.76% | 12.67% | 13.16% | 10.75% | 16.88% | 11.98% | 5.69% | |
Avg Days To Max Increase | 19 | 15 | 18 | 22 | 18 | 17 | 18 | 17 | 18 | 12 | 9 | |
Avg Max Decline | -1.79% | -1.89% | -2.21% | -1.18% | -1.76% | -1.77% | -1.17% | -1.28% | -1.74% | -1.39% | -0.37% | |
Max Decline | -5.57% | -9.01% | -9.21% | -5.77% | -5.55% | -6.34% | -5.18% | -6.03% | -5.91% | -4.79% | -1.53% | |
Avg Days to Max Decline | 9 | 10 | 7 | 10 | 14 | 7 | 6 | 6 | 9 | 6 | 2 | |
2015 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | Yes | Yes | Yes | Yes | Not Yet |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.