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| ScenarioSM Study for December S & P 500(CME) as of Dec 31, 2010 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | ||||||||||||
| Tested Month | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
| Tested Years | 24 | 28 | 28 | 28 | 29 | 29 | 29 | 29 | 29 | 29 | 29 | |
| Closed Higher | 14 | 17 | 19 | 18 | 19 | 16 | 12 | 18 | 13 | 18 | 19 | |
| Exceeded High | 12 | 14 | 16 | 17 | 16 | 12 | 12 | 13 | 13 | 14 | 15 | |
| Scenario Percentage | 86% | 82% | 84% | 94% | 84% | 75% | 100% | 72% | 100% | 78% | 79% | |
| Avg Max Increase | 6.03% | 5.14% | 6.57% | 4.97% | 4.49% | 5.97% | 3.89% | 5.48% | 5.96% | 6.81% | 2.77% | |
| Max Increase | 13.15% | 10.77% | 16.75% | 12.49% | 12.15% | 13.41% | 9.74% | 19.72% | 16.59% | 11.44% | 4.35% | |
| Avg Days To Max Increase | 16 | 15 | 18 | 16 | 18 | 17 | 17 | 13 | 20 | 11 | 9 | |
| Avg Max Decline | -1.15% | -0.60% | -1.51% | -1.60% | -1.48% | -1.26% | -2.16% | -1.68% | -2.61% | -1.13% | -0.53% | |
| Max Decline | -5.09% | -2.00% | -6.03% | -4.65% | -5.27% | -5.48% | -5.54% | -3.25% | -9.45% | -3.88% | -1.43% | |
| Avg Days to Max Decline | 5 | 6 | 7 | 9 | 13 | 6 | 12 | 8 | 7 | 6 | 3 | |
| 2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
| Action | Yes | Yes | No | Yes | Yes | Yes | ||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
