|
ScenarioSM Study for December S & P 500(CME) as of Jan 01, 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 | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
Tested Years | 32 | 36 | 36 | 36 | 37 | 37 | 37 | 37 | 37 | 37 | 37 | |
Closed Higher | 19 | 24 | 24 | 25 | 25 | 21 | 18 | 23 | 17 | 23 | 26 | |
Exceeded High | 16 | 21 | 21 | 24 | 21 | 17 | 17 | 17 | 15 | 18 | 19 | |
Scenario Percentage | 84% | 88% | 88% | 96% | 84% | 81% | 94% | 74% | 88% | 78% | 73% | |
Avg Max Increase | 6.05% | 4.69% | 5.81% | 4.55% | 4.38% | 5.53% | 3.81% | 4.90% | 6.09% | 6.12% | 2.69% | |
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 | 17 | 15 | 18 | 15 | 19 | 18 | 18 | 15 | 21 | 12 | 10 | |
Avg Max Decline | -0.83% | -0.92% | -1.53% | -1.49% | -1.63% | -1.33% | -2.06% | -1.98% | -2.39% | -1.03% | -0.64% | |
Max Decline | -5.09% | -5.84% | -6.03% | -4.65% | -5.27% | -5.48% | -5.54% | -9.02% | -9.45% | -3.88% | -1.62% | |
Avg Days to Max Decline | 6 | 5 | 8 | 9 | 15 | 8 | 11 | 10 | 7 | 6 | 3 | |
2018 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
Action | No | Yes | Yes | Yes | Yes | Yes | No | Not Yet |
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