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ScenarioSM Study for March 30-Year T-Bonds(CBOT) as of Jan 01, 2010 | |||||||||||
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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 | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
Tested Years | 28 | 30 | 31 | 31 | 31 | 32 | 32 | 32 | 32 | 32 | 32 |
Closed Higher | 12 | 12 | 22 | 16 | 20 | 17 | 18 | 24 | 19 | 17 | 15 |
Exceeded High | 11 | 12 | 15 | 15 | 19 | 15 | 16 | 21 | 18 | 10 | 10 |
Scenario Percentage | 92% | 100% | 68% | 94% | 95% | 88% | 89% | 88% | 95% | 59% | 67% |
Avg Max Increase | 6.18% | 4.61% | 4.26% | 4.77% | 4.66% | 4.02% | 4.68% | 4.09% | 4.03% | 3.41% | 2.55% |
Max Increase | 13.80% | 8.37% | 9.07% | 12.78% | 16.60% | 11.41% | 13.16% | 11.27% | 13.84% | 6.68% | 4.94% |
Avg Days To Max Increase | 15 | 17 | 17 | 14 | 18 | 17 | 14 | 14 | 18 | 11 | 11 |
Avg Max Decline | -0.66% | -0.28% | -1.11% | -0.39% | -1.02% | -1.15% | -0.96% | -1.43% | -1.73% | -0.64% | -0.64% |
Max Decline | -2.05% | -1.47% | -4.77% | -1.19% | -3.02% | -3.78% | -3.07% | -6.37% | -5.31% | -1.60% | -2.32% |
Avg Days to Max Decline | 9 | 2 | 11 | 5 | 7 | 8 | 6 | 7 | 8 | 4 | 4 |
2009 Contract Condition | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | No |
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