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ScenarioSM Study for September 10-Year T-Notes(CBOT) as of Jun 08, 2020 | ||||||||||||
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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 | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug |
Tested Years | 17 | 20 | 27 | 32 | 36 | 36 | 37 | 37 | 38 | 38 | 38 | |
Closed Higher | 10 | 14 | 15 | 22 | 17 | 13 | 17 | 18 | 22 | 23 | 28 | |
Exceeded High | 7 | 11 | 13 | 17 | 16 | 9 | 16 | 16 | 17 | 21 | 20 | |
Scenario Percentage | 70% | 79% | 87% | 77% | 94% | 69% | 94% | 89% | 77% | 91% | 71% | |
Avg Max Increase | 2.97% | 2.91% | 3.14% | 2.28% | 1.52% | 3.14% | 3.70% | 2.87% | 3.50% | 3.01% | 1.55% | |
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 | 15 | 18 | 15 | 18 | 18 | 11 | 10 | |
Avg Max Decline | -0.14% | -0.54% | -0.79% | -0.53% | -0.94% | -0.51% | -0.47% | -0.37% | -0.73% | -0.62% | -0.44% | |
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 | 8 | 9 | 5 | 6 | 7 | 11 | 5 | 2 | |
2019 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | Yes | Yes |
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