|
ScenarioSM Study for September 10-Year T-Notes(CBOT) as of Jan 01, 2013 | ||||||||||||
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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 | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug |
Tested Years | 13 | 16 | 23 | 25 | 29 | 29 | 30 | 30 | 31 | 31 | 31 | |
Closed Higher | 8 | 12 | 14 | 18 | 13 | 9 | 14 | 14 | 20 | 20 | 23 | |
Exceeded High | 7 | 9 | 12 | 13 | 12 | 5 | 13 | 14 | 15 | 19 | 18 | |
Scenario Percentage | 88% | 75% | 86% | 72% | 92% | 56% | 93% | 100% | 75% | 95% | 78% | |
Avg Max Increase | 2.97% | 3.16% | 3.11% | 2.61% | 1.66% | 4.89% | 4.27% | 3.13% | 3.71% | 3.13% | 1.65% | |
Max Increase | 7.63% | 5.70% | 8.99% | 11.72% | 6.75% | 9.14% | 10.78% | 6.35% | 7.98% | 9.50% | 3.28% | |
Avg Days To Max Increase | 16 | 19 | 16 | 12 | 16 | 24 | 15 | 20 | 18 | 11 | 10 | |
Avg Max Decline | -0.14% | -0.55% | -0.86% | -0.57% | -0.91% | -0.64% | -0.48% | -0.39% | -0.76% | -0.64% | -0.46% | |
Max Decline | -0.84% | -2.18% | -3.19% | -2.77% | -2.71% | -1.37% | -1.32% | -1.03% | -2.41% | -2.24% | -1.37% | |
Avg Days to Max Decline | 2 | 6 | 11 | 7 | 9 | 6 | 6 | 7 | 11 | 6 | 3 | |
2012 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | No | Yes | Yes | Not Yet | Not Yet |
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