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ScenarioSM Study for December 5-Year T-Notes(CBOT) as of Sep 16, 2022 | ||||||||||||
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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 | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
Tested Years | 7 | 8 | 11 | 21 | 23 | 29 | 34 | 34 | 34 | 34 | 34 | |
Closed Higher | 5 | 4 | 5 | 12 | 15 | 17 | 22 | 22 | 23 | 19 | 18 | |
Exceeded High | 5 | 4 | 2 | 11 | 13 | 15 | 21 | 21 | 21 | 16 | 11 | |
Scenario Percentage | 100% | 100% | 40% | 92% | 87% | 88% | 95% | 95% | 91% | 84% | 61% | |
Avg Max Increase | 0.41% | 0.69% | 2.48% | 1.79% | 1.40% | 1.79% | 1.80% | 1.68% | 1.69% | 1.85% | 0.97% | |
Max Increase | 0.94% | 1.89% | 4.28% | 4.52% | 5.00% | 4.07% | 4.64% | 3.92% | 6.42% | 8.59% | 3.05% | |
Avg Days To Max Increase | 5 | 19 | 16 | 17 | 17 | 16 | 17 | 14 | 17 | 12 | 10 | |
Avg Max Decline | -0.49% | -0.51% | 0.16% | -0.19% | -0.32% | -0.29% | -0.41% | -0.51% | -0.39% | -0.33% | -0.10% | |
Max Decline | -1.99% | -1.83% | 0.00% | -0.87% | -1.24% | -1.37% | -1.82% | -1.57% | -1.12% | -1.00% | -0.32% | |
Avg Days to Max Decline | 8 | 14 | 2 | 7 | 9 | 11 | 6 | 10 | 8 | 5 | 1 | |
2021 Contract Condition | Yes | Yes | Yes | Yes | ||||||||
Action | Yes | Yes | Yes | Not Yet |
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