|
ScenarioSM Study for September S & P 500(CME) as of Jan 01, 2015 | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
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 | 29 | 31 | 32 | 32 | 32 | 32 | 32 | 33 | 33 | 33 | 33 | |
Closed Higher | 19 | 22 | 25 | 20 | 20 | 22 | 21 | 21 | 18 | 14 | 20 | |
Exceeded High | 16 | 22 | 24 | 18 | 17 | 19 | 20 | 18 | 13 | 13 | 13 | |
Scenario Percentage | 84% | 100% | 96% | 90% | 85% | 86% | 95% | 86% | 72% | 93% | 65% | |
Avg Max Increase | 7.33% | 5.40% | 5.54% | 6.04% | 5.03% | 6.22% | 4.86% | 4.48% | 5.80% | 3.78% | 2.61% | |
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 | 18 | 17 | 17 | 15 | 17 | 16 | 18 | 20 | 14 | 9 | |
Avg Max Decline | -0.96% | -1.57% | -1.66% | -1.05% | -1.12% | -1.57% | -1.51% | -1.69% | -2.14% | -2.42% | -0.99% | |
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 | 14 | 7 | 5 | 4 | 9 | 8 | 11 | 12 | 13 | 3 | |
2014 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
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