|
ScenarioSM Study for June 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 | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May |
Tested Years | 34 | 37 | 37 | 37 | 37 | 37 | 37 | 37 | 37 | 37 | 38 | |
Closed Higher | 17 | 24 | 18 | 23 | 27 | 27 | 24 | 24 | 25 | 26 | 25 | |
Exceeded High | 16 | 17 | 16 | 19 | 25 | 26 | 21 | 21 | 21 | 24 | 18 | |
Scenario Percentage | 94% | 71% | 89% | 83% | 93% | 96% | 88% | 88% | 84% | 92% | 72% | |
Avg Max Increase | 3.83% | 5.10% | 5.90% | 6.76% | 5.37% | 5.66% | 5.91% | 4.92% | 6.06% | 4.37% | 2.46% | |
Max Increase | 9.67% | 19.35% | 16.77% | 13.74% | 13.76% | 12.67% | 13.16% | 10.75% | 16.88% | 12.31% | 6.00% | |
Avg Days To Max Increase | 20 | 16 | 19 | 20 | 19 | 17 | 17 | 17 | 18 | 12 | 10 | |
Avg Max Decline | -1.71% | -1.78% | -2.05% | -1.09% | -1.70% | -1.58% | -1.11% | -1.15% | -1.62% | -1.43% | -0.34% | |
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 | 9 | 7 | 10 | 13 | 7 | 6 | 5 | 9 | 6 | 2 | |
2019 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
Action | Yes | Yes | No | No | Yes | Yes | Yes | Yes |
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