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| ScenarioSM Study for December 10-Year T-Notes(CBOT) 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 | 11 | 15 | 22 | 25 | 27 | 29 | 29 | 29 | 29 | 29 | 29 | |
| Closed Higher | 8 | 6 | 8 | 11 | 11 | 21 | 19 | 21 | 23 | 19 | 16 | |
| Exceeded High | 6 | 5 | 4 | 9 | 11 | 16 | 19 | 20 | 22 | 17 | 12 | |
| Scenario Percentage | 75% | 83% | 50% | 82% | 100% | 76% | 100% | 95% | 96% | 89% | 75% | |
| Avg Max Increase | 3.80% | 2.30% | 5.41% | 4.67% | 3.34% | 3.68% | 3.44% | 3.41% | 2.78% | 2.56% | 1.86% | |
| Max Increase | 12.00% | 6.46% | 8.72% | 10.35% | 6.31% | 8.15% | 10.09% | 13.27% | 8.27% | 6.50% | 6.43% | |
| Avg Days To Max Increase | 12 | 15 | 27 | 14 | 19 | 19 | 16 | 14 | 16 | 7 | 9 | |
| Avg Max Decline | -0.58% | -0.77% | -0.37% | -0.41% | -0.12% | -0.67% | -0.62% | -0.74% | -0.65% | -0.59% | -0.33% | |
| Max Decline | -1.17% | -2.30% | -0.93% | -1.17% | -0.60% | -2.26% | -2.27% | -2.14% | -1.40% | -1.32% | -1.01% | |
| Avg Days to Max Decline | 8 | 11 | 7 | 7 | 6 | 11 | 6 | 8 | 9 | 6 | 2 | |
| 2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||
| Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
