|
ScenarioSM Study for September S & P 500(CME) as of Jan 01, 2013 | ||||||||||||
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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 | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug |
Tested Years | 27 | 29 | 30 | 30 | 30 | 30 | 30 | 31 | 31 | 31 | 31 | |
Closed Higher | 18 | 20 | 23 | 19 | 18 | 20 | 19 | 19 | 17 | 13 | 19 | |
Exceeded High | 15 | 20 | 22 | 17 | 15 | 17 | 18 | 16 | 12 | 12 | 13 | |
Scenario Percentage | 83% | 100% | 96% | 89% | 83% | 85% | 95% | 84% | 71% | 92% | 68% | |
Avg Max Increase | 7.43% | 5.46% | 5.63% | 6.08% | 5.17% | 6.32% | 4.81% | 4.53% | 6.06% | 4.01% | 2.95% | |
Max Increase | 13.89% | 13.82% | 12.33% | 13.22% | 10.71% | 16.76% | 12.53% | 12.17% | 13.44% | 9.20% | 5.66% | |
Avg Days To Max Increase | 21 | 16 | 16 | 16 | 14 | 17 | 15 | 18 | 19 | 15 | 11 | |
Avg Max Decline | -0.99% | -1.53% | -1.63% | -1.08% | -1.13% | -1.47% | -1.55% | -1.60% | -2.05% | -2.35% | -1.14% | |
Max Decline | -5.36% | -5.48% | -6.45% | -5.10% | -5.79% | -5.91% | -4.72% | -5.26% | -8.31% | -5.54% | -2.80% | |
Avg Days to Max Decline | 7 | 13 | 6 | 4 | 5 | 8 | 9 | 11 | 10 | 12 | 3 | |
2012 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
Action | No | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
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