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| ScenarioSM Study for December 10-Year T-Notes(CBOT) as of Jan 01, 2007 | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | |||||||||||
| Tested Month | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
| Tested Years | 9 | 12 | 18 | 21 | 23 | 25 | 25 | 25 | 25 | 25 | 25 |
| Closed Higher | 7 | 5 | 6 | 9 | 10 | 19 | 15 | 17 | 20 | 16 | 13 |
| Exceeded High | 5 | 4 | 4 | 8 | 10 | 14 | 15 | 16 | 19 | 14 | 9 |
| Scenario Percentage | 71% | 80% | 67% | 89% | 100% | 74% | 100% | 94% | 95% | 88% | 69% |
| Avg Max Increase | 4.38% | 2.76% | 5.41% | 4.54% | 3.31% | 3.74% | 3.45% | 3.69% | 2.72% | 2.49% | 1.59% |
| Max Increase | 12.00% | 6.46% | 8.72% | 10.35% | 6.31% | 8.15% | 10.09% | 13.27% | 8.27% | 6.50% | 3.69% |
| Avg Days To Max Increase | 14 | 11 | 27 | 12 | 18 | 18 | 16 | 14 | 16 | 8 | 9 |
| Avg Max Decline | -0.56% | -0.39% | -0.37% | -0.41% | -0.09% | -0.64% | -0.52% | -0.67% | -0.60% | -0.62% | -0.36% |
| Max Decline | -1.17% | -1.33% | -0.93% | -1.17% | -0.60% | -2.26% | -1.65% | -1.72% | -1.40% | -1.32% | -1.01% |
| Avg Days to Max Decline | 7 | 4 | 7 | 8 | 6 | 10 | 6 | 5 | 7 | 6 | 2 |
| 2006 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | |||||
| Action | Yes | Yes | Yes | Yes | Yes | Yes | |||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
