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| ScenarioSM Study for March 10-Year T-Notes(CBOT) as of Dec 30, 2011 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | 14 | 17 | 23 | 25 | 29 | 29 | 29 | 29 | 29 | 29 | 29 | |
| Closed Higher | 6 | 8 | 16 | 16 | 21 | 23 | 19 | 16 | 18 | 20 | 15 | |
| Exceeded High | 6 | 8 | 12 | 15 | 19 | 22 | 18 | 15 | 16 | 15 | 13 | |
| Scenario Percentage | 100% | 100% | 75% | 94% | 90% | 96% | 95% | 94% | 89% | 75% | 87% | |
| Avg Max Increase | 4.60% | 2.88% | 3.06% | 3.20% | 3.48% | 2.78% | 2.76% | 2.80% | 3.13% | 2.58% | 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 | 14 | 20 | 21 | 17 | 15 | 16 | 14 | 15 | 19 | 11 | 11 | |
| Avg Max Decline | -0.14% | -0.04% | -0.59% | -0.35% | -0.62% | -0.57% | -0.60% | -0.71% | -1.07% | -0.84% | -0.30% | |
| Max Decline | -0.40% | -0.99% | -2.04% | -2.11% | -2.14% | -1.38% | -2.27% | -2.19% | -3.13% | -2.57% | -1.34% | |
| Avg Days to Max Decline | 4 | 6 | 11 | 4 | 11 | 9 | 8 | 8 | 8 | 8 | 4 | |
| 2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
| Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
