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ScenarioSM Study for March 10-Year T-Notes(CBOT) as of Jan 01, 2010 | |||||||||||
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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 | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
Tested Years | 12 | 15 | 21 | 23 | 27 | 27 | 27 | 27 | 27 | 27 | 27 |
Closed Higher | 5 | 7 | 15 | 14 | 19 | 21 | 17 | 15 | 18 | 18 | 14 |
Exceeded High | 5 | 7 | 11 | 13 | 17 | 20 | 16 | 15 | 16 | 13 | 12 |
Scenario Percentage | 100% | 100% | 73% | 93% | 89% | 95% | 94% | 100% | 89% | 72% | 86% |
Avg Max Increase | 4.42% | 2.65% | 2.95% | 3.27% | 3.68% | 2.84% | 2.84% | 2.80% | 3.13% | 2.76% | 1.61% |
Max Increase | 9.87% | 5.99% | 5.18% | 9.68% | 12.83% | 7.97% | 7.51% | 6.39% | 8.15% | 9.27% | 3.99% |
Avg Days To Max Increase | 11 | 18 | 21 | 15 | 16 | 16 | 14 | 15 | 19 | 11 | 10 |
Avg Max Decline | -0.09% | 0.02% | -0.58% | -0.21% | -0.53% | -0.52% | -0.61% | -0.71% | -1.07% | -0.68% | -0.30% |
Max Decline | -0.35% | -0.99% | -2.04% | -0.88% | -1.70% | -1.38% | -2.27% | -2.19% | -3.13% | -1.47% | -1.34% |
Avg Days to Max Decline | 4 | 7 | 10 | 4 | 10 | 7 | 8 | 8 | 8 | 7 | 4 |
2009 Contract Condition | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | Yes | Yes | Yes | No |
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