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| ScenarioSM Study for December NASDAQ 100(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 | 3 | 3 | 3 | 14 | 14 | 14 | 15 | 15 | 15 | 15 | 15 | |
| Closed Higher | 1 | 2 | 9 | 7 | 8 | 7 | 8 | 10 | 10 | 11 | ||
| Exceeded High | 1 | 2 | 8 | 7 | 6 | 6 | 7 | 10 | 10 | 9 | ||
| Scenario Percentage | 100% | 100% | 89% | 100% | 75% | 86% | 88% | 100% | 100% | 82% | ||
| Avg Max Increase | 12.94% | 10.47% | 8.43% | 7.05% | 8.99% | 6.59% | 9.76% | 11.88% | 12.37% | 5.29% | ||
| Max Increase | 12.94% | 15.93% | 12.53% | 14.62% | 12.41% | 9.68% | 18.14% | 29.75% | 26.95% | 9.44% | ||
| Avg Days To Max Increase | 23 | 26 | 17 | 21 | 22 | 15 | 21 | 20 | 9 | 8 | ||
| Avg Max Decline | 1.33% | 0.43% | -2.27% | -2.35% | -1.10% | -2.83% | -2.11% | -4.22% | -1.21% | -0.99% | ||
| Max Decline | 1.33% | -0.19% | -7.11% | -3.60% | -4.73% | -5.97% | -4.34% | -21.51% | -2.40% | -3.34% | ||
| Avg Days to Max Decline | 1 | 1 | 18 | 15 | 3 | 9 | 14 | 7 | 4 | 2 | ||
| 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.
