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ScenarioSM Study for September 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 | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug |
Tested Years | 30 | 32 | 33 | 33 | 33 | 33 | 33 | 34 | 34 | 34 | 34 | |
Closed Higher | 20 | 23 | 25 | 20 | 21 | 22 | 22 | 22 | 18 | 15 | 20 | |
Exceeded High | 17 | 23 | 24 | 18 | 18 | 19 | 21 | 19 | 13 | 13 | 13 | |
Scenario Percentage | 85% | 100% | 96% | 90% | 86% | 86% | 95% | 86% | 72% | 87% | 65% | |
Avg Max Increase | 7.15% | 5.23% | 5.54% | 6.04% | 4.81% | 6.22% | 4.75% | 4.32% | 5.80% | 3.71% | 2.57% | |
Max Increase | 13.89% | 13.82% | 12.33% | 13.22% | 10.71% | 16.76% | 12.53% | 12.17% | 13.44% | 8.57% | 5.66% | |
Avg Days To Max Increase | 22 | 18 | 17 | 17 | 15 | 17 | 16 | 19 | 20 | 14 | 9 | |
Avg Max Decline | -1.01% | -1.70% | -1.66% | -1.05% | -1.23% | -1.57% | -1.47% | -1.76% | -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 | 10 | 14 | 7 | 5 | 5 | 9 | 8 | 13 | 12 | 13 | 3 | |
2015 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | Yes | Yes | Yes | Yes | Not Yet |
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