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| ScenarioSM Study for December S & P 500(CME) as of Jan 01, 2014 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | 27 | 31 | 31 | 31 | 32 | 32 | 32 | 32 | 32 | 32 | 32 | |
| Closed Higher | 17 | 20 | 21 | 20 | 20 | 17 | 14 | 19 | 15 | 20 | 21 | |
| Exceeded High | 15 | 17 | 18 | 19 | 17 | 13 | 14 | 14 | 14 | 15 | 16 | |
| Scenario Percentage | 88% | 85% | 86% | 95% | 85% | 76% | 100% | 74% | 93% | 75% | 76% | |
| Avg Max Increase | 6.08% | 4.99% | 6.33% | 4.77% | 4.48% | 5.89% | 4.08% | 5.44% | 6.12% | 6.74% | 2.87% | |
| Max Increase | 13.15% | 10.77% | 16.75% | 12.49% | 12.15% | 13.41% | 9.74% | 19.72% | 16.59% | 13.00% | 5.66% | |
| Avg Days To Max Increase | 18 | 15 | 17 | 15 | 18 | 17 | 17 | 13 | 21 | 13 | 10 | |
| Avg Max Decline | -0.87% | -1.02% | -1.46% | -1.50% | -1.65% | -1.36% | -2.21% | -1.60% | -2.57% | -1.11% | -0.55% | |
| Max Decline | -5.09% | -5.84% | -6.03% | -4.65% | -5.27% | -5.48% | -5.54% | -3.25% | -9.45% | -3.88% | -1.43% | |
| Avg Days to Max Decline | 6 | 6 | 8 | 8 | 14 | 7 | 12 | 8 | 7 | 6 | 3 | |
| 2013 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||
| Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Not Yet | |||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
