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| ScenarioSM Study for March 30-Year T-Bonds(CBOT) as of Jan 01, 2014 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | Feb | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
| Tested Years | 29 | 31 | 32 | 35 | 35 | 36 | 36 | 36 | 36 | 36 | 36 | |
| Closed Higher | 12 | 12 | 23 | 20 | 23 | 19 | 18 | 27 | 20 | 19 | 18 | |
| Exceeded High | 11 | 12 | 16 | 18 | 22 | 16 | 16 | 22 | 18 | 11 | 13 | |
| Scenario Percentage | 92% | 100% | 70% | 90% | 96% | 84% | 89% | 81% | 90% | 58% | 72% | |
| Avg Max Increase | 6.18% | 4.61% | 4.15% | 5.47% | 4.59% | 3.89% | 4.68% | 4.06% | 4.03% | 3.18% | 2.27% | |
| Max Increase | 13.80% | 8.37% | 9.07% | 16.90% | 16.60% | 11.41% | 13.16% | 11.27% | 13.84% | 6.68% | 4.94% | |
| Avg Days To Max Increase | 15 | 17 | 18 | 15 | 17 | 17 | 14 | 15 | 18 | 11 | 11 | |
| Avg Max Decline | -0.66% | -0.28% | -1.21% | -0.55% | -1.12% | -1.30% | -0.96% | -1.42% | -1.73% | -0.80% | -0.77% | |
| Max Decline | -2.05% | -1.47% | -4.77% | -3.21% | -4.22% | -3.78% | -3.07% | -6.37% | -5.31% | -2.45% | -2.32% | |
| Avg Days to Max Decline | 9 | 2 | 12 | 4 | 7 | 11 | 6 | 7 | 8 | 5 | 5 | |
| 2013 Contract Condition | Yes | Yes | Yes | |||||||||
| Action | No | No | Yes | |||||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
