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ScenarioSM Study for December 10-Year T-Notes(CBOT) as of Jan 01, 2014 | ||||||||||||
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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 | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
Tested Years | 14 | 18 | 25 | 28 | 30 | 32 | 32 | 32 | 32 | 32 | 32 | |
Closed Higher | 10 | 7 | 8 | 14 | 13 | 21 | 21 | 23 | 25 | 20 | 18 | |
Exceeded High | 7 | 6 | 4 | 12 | 13 | 16 | 20 | 21 | 23 | 17 | 14 | |
Scenario Percentage | 70% | 86% | 50% | 86% | 100% | 76% | 95% | 91% | 92% | 85% | 78% | |
Avg Max Increase | 3.45% | 2.06% | 5.41% | 4.09% | 3.10% | 3.68% | 3.58% | 3.36% | 2.72% | 2.56% | 1.75% | |
Max Increase | 12.00% | 6.46% | 8.72% | 10.35% | 6.31% | 8.15% | 10.09% | 13.27% | 8.27% | 6.50% | 6.43% | |
Avg Days To Max Increase | 12 | 17 | 27 | 13 | 20 | 19 | 16 | 14 | 17 | 7 | 9 | |
Avg Max Decline | -0.89% | -0.81% | -0.37% | -0.33% | -0.25% | -0.67% | -0.61% | -0.72% | -0.66% | -0.59% | -0.34% | |
Max Decline | -2.70% | -2.30% | -0.93% | -1.17% | -1.03% | -2.26% | -2.27% | -2.14% | -1.40% | -1.32% | -1.01% | |
Avg Days to Max Decline | 8 | 10 | 7 | 6 | 9 | 11 | 6 | 8 | 9 | 6 | 2 | |
2013 Contract Condition | Yes | Yes | Yes | Yes | ||||||||
Action | 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.