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| ScenarioSM Study for September 10-Year T-Notes(CBOT) as of Jan 01, 2010 | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | |||||||||||
| Tested Month | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug |
| Tested Years | 10 | 13 | 20 | 22 | 26 | 26 | 27 | 27 | 28 | 28 | 28 |
| Closed Higher | 6 | 9 | 13 | 15 | 12 | 9 | 11 | 11 | 19 | 17 | 20 |
| Exceeded High | 5 | 8 | 11 | 11 | 11 | 5 | 10 | 11 | 14 | 17 | 17 |
| Scenario Percentage | 83% | 89% | 85% | 73% | 92% | 56% | 91% | 100% | 74% | 100% | 85% |
| Avg Max Increase | 3.20% | 3.17% | 3.30% | 2.90% | 1.77% | 4.89% | 4.28% | 3.33% | 3.72% | 3.09% | 1.69% |
| Max Increase | 7.63% | 5.70% | 8.99% | 11.72% | 6.75% | 9.14% | 10.78% | 6.35% | 7.98% | 9.50% | 3.28% |
| Avg Days To Max Increase | 22 | 17 | 17 | 13 | 15 | 24 | 14 | 18 | 18 | 11 | 11 |
| Avg Max Decline | -0.05% | -0.60% | -0.86% | -0.35% | -0.79% | -0.64% | -0.54% | -0.25% | -0.75% | -0.67% | -0.49% |
| Max Decline | -0.84% | -2.18% | -3.19% | -1.16% | -2.71% | -1.37% | -1.32% | -0.72% | -2.41% | -2.24% | -1.37% |
| Avg Days to Max Decline | 2 | 6 | 10 | 6 | 7 | 6 | 7 | 5 | 11 | 6 | 4 |
| 2009 Contract Condition | Yes | Yes | Yes | Yes | Yes | ||||||
| Action | Yes | No | No | Yes | Yes | ||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
