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| ScenarioSM Study for September 10-Year T-Notes(CBOT) as of Jan 01, 2016 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | 16 | 19 | 26 | 28 | 32 | 32 | 33 | 33 | 34 | 34 | 34 | |
| Closed Higher | 10 | 14 | 15 | 20 | 15 | 10 | 16 | 15 | 20 | 21 | 25 | |
| Exceeded High | 7 | 11 | 13 | 15 | 14 | 6 | 15 | 14 | 15 | 20 | 18 | |
| Scenario Percentage | 70% | 79% | 87% | 75% | 93% | 60% | 94% | 93% | 75% | 95% | 72% | |
| Avg Max Increase | 2.97% | 2.91% | 3.14% | 2.31% | 1.53% | 4.23% | 3.85% | 3.13% | 3.71% | 3.10% | 1.68% | |
| 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 | 15 | 11 | 16 | 21 | 15 | 20 | 18 | 13 | 11 | |
| Avg Max Decline | -0.14% | -0.54% | -0.79% | -0.52% | -0.85% | -0.50% | -0.44% | -0.39% | -0.76% | -0.64% | -0.48% | |
| 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 | 5 | 10 | 7 | 9 | 5 | 5 | 7 | 11 | 6 | 3 | |
| 2015 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
| Action | No | Yes | Yes | Yes | Yes | Yes | Not Yet | |||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
