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ScenarioSM Study for June 10-Year T-Notes(CBOT) as of Oct 20, 2019 | ||||||||||||
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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 | Feb | Feb | Feb | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May |
Tested Years | 20 | 22 | 29 | 34 | 36 | 36 | 36 | 37 | 37 | 37 | 37 | |
Closed Higher | 12 | 17 | 21 | 20 | 20 | 22 | 26 | 19 | 15 | 18 | 17 | |
Exceeded High | 10 | 16 | 20 | 14 | 19 | 19 | 19 | 15 | 10 | 18 | 14 | |
Scenario Percentage | 83% | 94% | 95% | 70% | 95% | 86% | 73% | 79% | 67% | 100% | 82% | |
Avg Max Increase | 3.74% | 2.90% | 2.52% | 3.18% | 2.63% | 2.95% | 2.58% | 2.14% | 2.96% | 3.19% | 1.68% | |
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 | 15 | 13 | 19 | 15 | 16 | 18 | 15 | 13 | 17 | 11 | 11 | |
Avg Max Decline | -0.55% | -0.54% | -0.32% | -0.33% | -0.50% | -0.85% | -0.77% | -0.60% | -0.71% | -0.46% | -0.20% | |
Max Decline | -2.13% | -1.84% | -1.22% | -1.32% | -2.12% | -3.16% | -2.88% | -1.61% | -2.32% | -1.24% | -0.64% | |
Avg Days to Max Decline | 4 | 11 | 8 | 6 | 5 | 9 | 9 | 6 | 9 | 5 | 2 | |
2019 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | Yes | Yes |
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