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ScenarioSM Study for December S & P 500(CME) as of Jan 01, 2007 | |||||||||||
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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 | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
Tested Years | 20 | 24 | 24 | 24 | 25 | 25 | 25 | 25 | 25 | 25 | 25 |
Closed Higher | 13 | 16 | 16 | 14 | 16 | 15 | 10 | 15 | 10 | 16 | 18 |
Exceeded High | 11 | 13 | 13 | 14 | 14 | 11 | 10 | 11 | 10 | 13 | 14 |
Scenario Percentage | 85% | 81% | 81% | 100% | 88% | 73% | 100% | 73% | 100% | 81% | 78% |
Avg Max Increase | 6.45% | 4.71% | 5.89% | 4.82% | 4.42% | 5.29% | 3.15% | 5.13% | 6.10% | 6.73% | 2.63% |
Max Increase | 13.15% | 9.38% | 14.02% | 12.49% | 12.15% | 11.90% | 6.06% | 19.72% | 16.59% | 11.44% | 4.35% |
Avg Days To Max Increase | 16 | 14 | 17 | 17 | 17 | 16 | 16 | 13 | 23 | 10 | 7 |
Avg Max Decline | -1.21% | -0.68% | -1.74% | -1.86% | -1.07% | -0.87% | -1.96% | -1.52% | -2.90% | -1.17% | -0.55% |
Max Decline | -5.09% | -2.00% | -6.03% | -4.65% | -4.36% | -4.23% | -3.69% | -3.25% | -9.45% | -3.88% | -1.43% |
Avg Days to Max Decline | 4 | 6 | 8 | 10 | 11 | 6 | 10 | 8 | 8 | 5 | 3 |
2006 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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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.