|
ScenarioSM Study for September 5-Year T-Notes(CBOT) as of May 10, 2024 | ||||||||||||
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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 | Feb | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug |
Tested Years | 8 | 8 | 11 | 19 | 26 | 29 | 35 | 35 | 36 | 36 | 36 | |
Closed Higher | 4 | 6 | 5 | 14 | 8 | 12 | 18 | 22 | 20 | 23 | 22 | |
Exceeded High | 3 | 5 | 4 | 12 | 7 | 9 | 18 | 19 | 16 | 22 | 20 | |
Scenario Percentage | 75% | 83% | 80% | 86% | 88% | 75% | 100% | 86% | 80% | 96% | 91% | |
Avg Max Increase | 0.69% | 1.24% | 2.39% | 1.20% | 1.16% | 0.79% | 2.14% | 1.86% | 2.17% | 1.56% | 1.06% | |
Max Increase | 1.25% | 2.59% | 4.50% | 3.88% | 2.33% | 1.78% | 5.64% | 5.13% | 4.81% | 3.73% | 2.70% | |
Avg Days To Max Increase | 20 | 17 | 16 | 11 | 16 | 8 | 17 | 20 | 17 | 12 | 13 | |
Avg Max Decline | -0.17% | -0.24% | -0.31% | -0.40% | -0.27% | -0.32% | -0.32% | -0.56% | -0.49% | -0.45% | -0.33% | |
Max Decline | -0.50% | -0.94% | -0.71% | -1.97% | -0.98% | -0.71% | -0.77% | -3.34% | -1.65% | -1.71% | -1.02% | |
Avg Days to Max Decline | 4 | 6 | 7 | 7 | 6 | 5 | 7 | 6 | 11 | 6 | 5 | |
2023 Contract Condition | Yes | Yes | Yes | |||||||||
Action | No | Yes | Yes |
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