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| ScenarioSM Study for December 10-Year T-Notes(CBOT) as of Jan 01, 2018 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
| Tested Years | 16 | 20 | 27 | 32 | 34 | 36 | 36 | 36 | 36 | 36 | 36 | |
| Closed Higher | 12 | 8 | 9 | 16 | 15 | 22 | 24 | 26 | 27 | 21 | 19 | |
| Exceeded High | 9 | 7 | 5 | 14 | 14 | 17 | 22 | 24 | 24 | 17 | 15 | |
| Scenario Percentage | 75% | 88% | 56% | 88% | 93% | 77% | 92% | 92% | 89% | 81% | 79% | |
| Avg Max Increase | 2.79% | 1.82% | 4.50% | 3.67% | 2.92% | 3.52% | 3.43% | 3.22% | 2.65% | 2.56% | 1.69% | |
| 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 | 10 | 15 | 22 | 14 | 20 | 19 | 16 | 14 | 16 | 7 | 10 | |
| Avg Max Decline | -0.73% | -0.70% | -0.30% | -0.35% | -0.25% | -0.62% | -0.59% | -0.74% | -0.63% | -0.59% | -0.39% | |
| Max Decline | -2.70% | -2.30% | -0.93% | -1.17% | -1.03% | -2.26% | -2.27% | -2.14% | -1.40% | -1.32% | -1.15% | |
| Avg Days to Max Decline | 8 | 9 | 6 | 6 | 9 | 10 | 5 | 8 | 9 | 6 | 2 | |
| 2017 Contract Condition | Yes | Yes | Yes | Yes | ||||||||
| Action | Yes | Yes | Yes | Yes | ||||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
