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ScenarioSM Study for March 10-Year T-Notes(CBOT) as of Dec 31, 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 | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
Tested Years | 13 | 16 | 22 | 24 | 28 | 28 | 28 | 28 | 28 | 28 | 28 | |
Closed Higher | 5 | 7 | 15 | 15 | 20 | 22 | 18 | 16 | 18 | 19 | 15 | |
Exceeded High | 5 | 7 | 11 | 14 | 18 | 21 | 17 | 15 | 16 | 14 | 13 | |
Scenario Percentage | 100% | 100% | 73% | 93% | 90% | 95% | 94% | 94% | 89% | 74% | 87% | |
Avg Max Increase | 4.42% | 2.65% | 2.95% | 3.18% | 3.58% | 2.84% | 2.84% | 2.80% | 3.13% | 2.63% | 1.52% | |
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 | 16 | 15 | 17 | 15 | 15 | 19 | 11 | 11 | |
Avg Max Decline | -0.09% | 0.02% | -0.58% | -0.35% | -0.54% | -0.55% | -0.63% | -0.71% | -1.07% | -0.71% | -0.30% | |
Max Decline | -0.35% | -0.99% | -2.04% | -2.11% | -1.70% | -1.38% | -2.27% | -2.19% | -3.13% | -1.47% | -1.34% | |
Avg Days to Max Decline | 4 | 7 | 10 | 4 | 11 | 8 | 8 | 8 | 8 | 7 | 4 | |
2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | Yes | No | Yes | Yes |
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