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RE: [RT] Creating Continuous Non-Adjusted Contracts



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SP and INDU cash from date to inception	Gives % of months that close
up/%close down.  So for Jan, Jan closes up for the month 64% of the time and
closed down 35% of the time.

		SP		Indu
Jan		64/35		63/36
Feb		53/46		56/44
Mar		62/37		56/43
Apr		65/43		57/42
May		53/49		55/45
Jun		53/46		50/50
Jul		46/53		63/36
Aug		58/41		63/36
Sep		42/57		43/57
Oct		66/33		58/40
Nov		62/38		58/41
Dec		76/23		73/26

For the past 2 months we've tracked these percentages with Sept being down
(and probably the worst month of the year), Oct up and Nov so far is up.
Dec historically is the month with the highest odds to close up.

B.


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