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ScenarioSM Study for March 30-Year T-Bonds(CBOT) as of Oct 20, 2019 | ||||||||||||
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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 | Feb | Feb | Feb | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
Tested Years | 29 | 31 | 32 | 41 | 41 | 42 | 42 | 42 | 42 | 42 | 42 | |
Closed Higher | 12 | 12 | 23 | 22 | 26 | 21 | 20 | 30 | 23 | 24 | 21 | |
Exceeded High | 11 | 12 | 16 | 19 | 24 | 18 | 17 | 25 | 20 | 13 | 14 | |
Scenario Percentage | 92% | 100% | 70% | 86% | 92% | 86% | 85% | 83% | 87% | 54% | 67% | |
Avg Max Increase | 6.18% | 4.61% | 4.15% | 5.34% | 4.46% | 3.67% | 4.70% | 4.16% | 3.97% | 3.27% | 2.15% | |
Max Increase | 13.80% | 8.37% | 9.07% | 16.90% | 16.60% | 11.41% | 13.16% | 11.27% | 13.84% | 6.68% | 4.94% | |
Avg Days To Max Increase | 15 | 17 | 18 | 15 | 16 | 17 | 14 | 14 | 17 | 11 | 11 | |
Avg Max Decline | -0.66% | -0.28% | -1.21% | -0.53% | -1.20% | -1.23% | -0.93% | -1.31% | -1.59% | -0.80% | -0.72% | |
Max Decline | -2.05% | -1.47% | -4.77% | -3.21% | -4.22% | -3.78% | -3.07% | -6.37% | -5.31% | -2.45% | -2.32% | |
Avg Days to Max Decline | 9 | 2 | 12 | 4 | 7 | 10 | 6 | 6 | 8 | 5 | 5 | |
2019 Contract Condition | Yes | Yes | Yes | Yes | ||||||||
Action | No | Yes | Yes | Not Yet |
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