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ScenarioSM Study for June 10-Year T-Notes(CBOT) as of Jan 01, 2009 | ||||||||||||
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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 | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May |
Tested Years | 12 | 14 | 21 | 23 | 25 | 25 | 25 | 26 | 26 | 26 | 26 | |
Closed Higher | 6 | 10 | 15 | 16 | 14 | 18 | 18 | 14 | 9 | 12 | 10 | |
Exceeded High | 5 | 9 | 15 | 13 | 14 | 16 | 13 | 12 | 5 | 12 | 10 | |
Scenario Percentage | 83% | 90% | 100% | 81% | 100% | 89% | 72% | 86% | 56% | 100% | 100% | |
Avg Max Increase | 3.88% | 3.65% | 2.92% | 3.24% | 2.44% | 3.14% | 2.96% | 2.35% | 4.92% | 3.60% | 1.96% | |
Max Increase | 9.06% | 11.62% | 7.59% | 7.76% | 4.90% | 8.72% | 11.48% | 6.91% | 9.31% | 10.46% | 3.23% | |
Avg Days To Max Increase | 11 | 14 | 19 | 16 | 16 | 19 | 13 | 12 | 21 | 10 | 11 | |
Avg Max Decline | -0.42% | -0.32% | -0.23% | -0.30% | -0.60% | -0.94% | -0.64% | -0.53% | -0.58% | -0.51% | -0.22% | |
Max Decline | -0.88% | -1.51% | -1.14% | -1.32% | -2.12% | -3.16% | -1.69% | -1.61% | -1.43% | -1.24% | -0.64% | |
Avg Days to Max Decline | 4 | 11 | 6 | 7 | 6 | 9 | 7 | 5 | 6 | 6 | 2 | |
2008 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | No |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.