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ScenarioSM Study for June 10-Year T-Notes(CBOT) as of Jan 01, 2008 | |||||||||||
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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 | Feb | Feb | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May |
Tested Years | 11 | 13 | 20 | 22 | 24 | 24 | 24 | 25 | 25 | 25 | 25 |
Closed Higher | 5 | 9 | 14 | 15 | 13 | 17 | 17 | 13 | 8 | 12 | 10 |
Exceeded High | 4 | 8 | 14 | 12 | 13 | 15 | 12 | 11 | 5 | 12 | 10 |
Scenario Percentage | 80% | 89% | 100% | 80% | 100% | 88% | 71% | 85% | 62% | 100% | 100% |
Avg Max Increase | 4.04% | 3.91% | 2.79% | 3.17% | 2.25% | 3.03% | 2.90% | 2.23% | 4.92% | 3.61% | 1.98% |
Max Increase | 9.06% | 11.62% | 7.59% | 7.76% | 4.84% | 8.72% | 11.48% | 6.91% | 9.31% | 10.46% | 3.23% |
Avg Days To Max Increase | 11 | 13 | 18 | 15 | 15 | 19 | 13 | 12 | 21 | 10 | 12 |
Avg Max Decline | -0.39% | -0.26% | -0.18% | -0.39% | -0.49% | -1.05% | -0.55% | -0.61% | -0.58% | -0.51% | -0.22% |
Max Decline | -0.88% | -1.51% | -1.14% | -1.32% | -2.12% | -3.16% | -1.33% | -1.61% | -1.43% | -1.24% | -0.64% |
Avg Days to Max Decline | 3 | 7 | 5 | 7 | 5 | 9 | 6 | 6 | 6 | 6 | 2 |
2007 Contract Condition | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.