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ScenarioSM Study for September 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 | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug |
Tested Years | 34 | 36 | 37 | 37 | 37 | 37 | 37 | 38 | 38 | 38 | 38 | |
Closed Higher | 22 | 27 | 27 | 23 | 24 | 25 | 26 | 25 | 22 | 19 | 23 | |
Exceeded High | 19 | 25 | 26 | 20 | 21 | 22 | 25 | 22 | 17 | 16 | 15 | |
Scenario Percentage | 86% | 93% | 96% | 87% | 88% | 88% | 96% | 88% | 77% | 84% | 65% | |
Avg Max Increase | 6.76% | 5.35% | 5.64% | 6.00% | 4.89% | 5.79% | 4.48% | 4.28% | 5.47% | 3.55% | 2.58% | |
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 | 20 | 19 | 17 | 16 | 15 | 18 | 16 | 19 | 20 | 16 | 12 | |
Avg Max Decline | -0.94% | -1.63% | -1.49% | -0.97% | -1.01% | -1.43% | -1.76% | -1.78% | -1.76% | -2.23% | -1.13% | |
Max Decline | -5.36% | -5.48% | -6.45% | -5.10% | -5.79% | -5.91% | -7.36% | -5.26% | -8.31% | -5.54% | -2.80% | |
Avg Days to Max Decline | 9 | 13 | 7 | 5 | 5 | 9 | 11 | 15 | 10 | 12 | 4 | |
2019 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | No | Yes | Yes | Yes | Yes | Yes | Not Yet |
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