|
ScenarioSM Study for June 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 | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May |
Tested Years | 15 | 17 | 24 | 26 | 28 | 28 | 28 | 29 | 29 | 29 | 29 | |
Closed Higher | 9 | 13 | 17 | 18 | 16 | 19 | 20 | 15 | 10 | 14 | 12 | |
Exceeded High | 8 | 12 | 17 | 14 | 15 | 16 | 15 | 12 | 5 | 14 | 11 | |
Scenario Percentage | 89% | 92% | 100% | 78% | 94% | 84% | 75% | 80% | 50% | 100% | 92% | |
Avg Max Increase | 3.67% | 3.26% | 2.82% | 3.18% | 2.65% | 3.14% | 2.84% | 2.35% | 4.92% | 3.65% | 1.93% | |
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 | 13 | 13 | 19 | 15 | 16 | 19 | 14 | 12 | 21 | 11 | 12 | |
Avg Max Decline | -0.62% | -0.43% | -0.27% | -0.33% | -0.56% | -0.94% | -0.81% | -0.53% | -0.58% | -0.48% | -0.21% | |
Max Decline | -2.13% | -1.84% | -1.16% | -1.32% | -2.12% | -3.16% | -2.88% | -1.61% | -1.43% | -1.24% | -0.64% | |
Avg Days to Max Decline | 4 | 11 | 7 | 6 | 6 | 9 | 8 | 5 | 6 | 6 | 1 | |
2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | No | Yes | Yes | Yes |
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