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ScenarioSM Study for September E-mini DJIA Index(CBOT) as of Nov 09, 2020 | ||||||||||||
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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 | 17 | 18 | 20 | 21 | 21 | 21 | 22 | 23 | 23 | 23 | 23 | |
Closed Higher | 10 | 14 | 15 | 10 | 13 | 12 | 18 | 13 | 10 | 14 | 14 | |
Exceeded High | 10 | 13 | 13 | 9 | 11 | 12 | 17 | 10 | 9 | 11 | 10 | |
Scenario Percentage | 100% | 93% | 87% | 90% | 85% | 100% | 94% | 77% | 90% | 79% | 71% | |
Avg Max Increase | 5.70% | 4.35% | 5.03% | 4.84% | 4.68% | 6.01% | 4.36% | 4.91% | 4.83% | 4.64% | 2.03% | |
Max Increase | 9.27% | 10.33% | 8.07% | 7.61% | 9.47% | 13.52% | 13.83% | 9.18% | 12.04% | 10.87% | 4.37% | |
Avg Days To Max Increase | 23 | 19 | 20 | 18 | 17 | 14 | 13 | 23 | 20 | 10 | 10 | |
Avg Max Decline | -0.85% | -1.25% | -1.00% | -0.42% | -1.21% | -1.28% | -1.48% | -2.35% | -1.60% | -1.37% | -0.99% | |
Max Decline | -6.06% | -4.88% | -6.63% | -2.60% | -5.62% | -3.65% | -7.44% | -4.88% | -4.31% | -4.49% | -2.52% | |
Avg Days to Max Decline | 12 | 8 | 8 | 7 | 6 | 7 | 9 | 17 | 13 | 9 | 5 | |
2020 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
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