MRCI Online
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| ScenarioSM Study for June S & P 500(CME) as of Jan 01, 2013 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | ||||||||||||
| Tested Month | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May |
| Tested Years | 27 | 30 | 30 | 30 | 30 | 30 | 30 | 30 | 30 | 30 | 31 | |
| Closed Higher | 11 | 19 | 14 | 19 | 20 | 23 | 20 | 18 | 20 | 19 | 19 | |
| Exceeded High | 11 | 13 | 13 | 15 | 20 | 22 | 18 | 15 | 16 | 17 | 14 | |
| Scenario Percentage | 100% | 68% | 93% | 79% | 100% | 96% | 90% | 83% | 80% | 89% | 74% | |
| Avg Max Increase | 3.94% | 5.75% | 6.00% | 7.44% | 5.50% | 5.66% | 5.98% | 5.19% | 6.69% | 4.50% | 2.32% | |
| Max Increase | 9.67% | 19.35% | 16.77% | 13.74% | 13.76% | 12.67% | 13.16% | 10.75% | 16.88% | 11.80% | 5.51% | |
| Avg Days To Max Increase | 19 | 15 | 19 | 21 | 17 | 16 | 17 | 16 | 17 | 9 | 6 | |
| Avg Max Decline | -1.66% | -1.44% | -2.40% | -1.18% | -1.61% | -1.73% | -1.20% | -1.18% | -1.62% | -1.39% | -0.31% | |
| Max Decline | -5.57% | -3.31% | -9.21% | -5.77% | -5.55% | -6.34% | -5.18% | -6.03% | -5.91% | -4.79% | -1.32% | |
| Avg Days to Max Decline | 8 | 8 | 7 | 8 | 14 | 6 | 5 | 5 | 8 | 4 | 1 | |
| 2012 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
| Action | No | Yes | Yes | Yes | No | |||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
