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| ScenarioSM Study for September 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 | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug |
| Tested Years | 29 | 31 | 33 | 36 | 36 | 36 | 36 | 36 | 36 | 36 | 36 | |
| Closed Higher | 15 | 25 | 18 | 19 | 18 | 13 | 17 | 16 | 25 | 20 | 22 | |
| Exceeded High | 14 | 21 | 17 | 10 | 13 | 8 | 16 | 16 | 18 | 18 | 19 | |
| Scenario Percentage | 93% | 84% | 94% | 53% | 72% | 62% | 94% | 100% | 72% | 90% | 86% | |
| Avg Max Increase | 4.94% | 3.77% | 3.98% | 3.56% | 3.63% | 7.76% | 6.11% | 4.45% | 4.88% | 4.76% | 2.39% | |
| Max Increase | 12.38% | 11.29% | 14.46% | 6.69% | 12.15% | 22.19% | 13.83% | 9.25% | 12.19% | 11.76% | 5.55% | |
| Avg Days To Max Increase | 16 | 15 | 17 | 14 | 18 | 17 | 14 | 18 | 18 | 9 | 10 | |
| Avg Max Decline | -0.65% | -1.26% | -1.56% | -0.63% | -1.42% | -0.98% | -0.84% | -0.70% | -1.22% | -0.69% | -0.70% | |
| Max Decline | -2.49% | -5.56% | -5.39% | -2.26% | -2.74% | -3.15% | -2.47% | -2.15% | -4.58% | -3.52% | -1.95% | |
| Avg Days to Max Decline | 5 | 8 | 8 | 5 | 12 | 4 | 7 | 4 | 10 | 4 | 2 | |
| 2013 Contract Condition | Yes | Yes | Yes | |||||||||
| Action | Yes | Yes | Yes | |||||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
