|
ScenarioSM Study for March 30-Year T-Bonds(CBOT) as of Dec 31, 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 | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
Tested Years | 29 | 31 | 32 | 32 | 32 | 33 | 33 | 33 | 33 | 33 | 33 | |
Closed Higher | 12 | 12 | 23 | 17 | 21 | 18 | 18 | 25 | 19 | 18 | 16 | |
Exceeded High | 11 | 12 | 16 | 16 | 20 | 16 | 16 | 21 | 18 | 11 | 11 | |
Scenario Percentage | 92% | 100% | 70% | 94% | 95% | 89% | 89% | 84% | 95% | 61% | 69% | |
Avg Max Increase | 6.18% | 4.61% | 4.15% | 4.70% | 4.62% | 3.89% | 4.68% | 4.09% | 4.03% | 3.20% | 2.39% | |
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 | 18 | 15 | 17 | 17 | 14 | 14 | 18 | 12 | 12 | |
Avg Max Decline | -0.66% | -0.28% | -1.21% | -0.56% | -1.03% | -1.30% | -0.96% | -1.43% | -1.73% | -0.80% | -0.72% | |
Max Decline | -2.05% | -1.47% | -4.77% | -3.21% | -3.02% | -3.78% | -3.07% | -6.37% | -5.31% | -2.45% | -2.32% | |
Avg Days to Max Decline | 9 | 2 | 12 | 5 | 7 | 11 | 6 | 7 | 8 | 5 | 5 | |
2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | Yes | No | Yes | Yes |
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