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ScenarioSM Study for June 10-Year T-Notes(CBOT) as of Jan 01, 2010 | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | |||||||||||
Tested Month | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May |
Tested Years | 13 | 15 | 22 | 24 | 26 | 26 | 26 | 27 | 27 | 27 | 27 |
Closed Higher | 7 | 11 | 15 | 16 | 15 | 19 | 18 | 14 | 10 | 12 | 10 |
Exceeded High | 6 | 10 | 15 | 13 | 15 | 16 | 13 | 12 | 5 | 12 | 10 |
Scenario Percentage | 86% | 91% | 100% | 81% | 100% | 84% | 72% | 86% | 50% | 100% | 100% |
Avg Max Increase | 3.97% | 3.55% | 2.92% | 3.24% | 2.65% | 3.14% | 2.96% | 2.35% | 4.92% | 3.60% | 1.96% |
Max Increase | 9.06% | 11.62% | 7.59% | 7.76% | 5.65% | 8.72% | 11.48% | 6.91% | 9.31% | 10.46% | 3.23% |
Avg Days To Max Increase | 12 | 14 | 19 | 16 | 16 | 19 | 13 | 12 | 21 | 10 | 11 |
Avg Max Decline | -0.42% | -0.29% | -0.23% | -0.30% | -0.56% | -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 | 10 | 6 | 7 | 6 | 9 | 7 | 5 | 6 | 6 | 2 |
2009 Contract Condition | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | Yes | Yes | No | No |
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