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ScenarioSM Study for June 30-Year T-Bonds(CBOT) as of Jan 01, 2016 | ||||||||||||
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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 | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May |
Tested Years | 30 | 30 | 33 | 38 | 38 | 38 | 38 | 38 | 38 | 38 | 38 | |
Closed Higher | 16 | 19 | 18 | 20 | 28 | 20 | 21 | 19 | 14 | 18 | 17 | |
Exceeded High | 15 | 18 | 15 | 18 | 23 | 18 | 12 | 14 | 9 | 17 | 15 | |
Scenario Percentage | 94% | 95% | 83% | 90% | 82% | 90% | 57% | 74% | 64% | 94% | 88% | |
Avg Max Increase | 4.21% | 4.53% | 3.97% | 4.56% | 4.26% | 4.20% | 3.20% | 3.54% | 5.14% | 5.60% | 3.21% | |
Max Increase | 12.20% | 15.55% | 10.84% | 12.87% | 11.27% | 13.95% | 6.72% | 12.22% | 11.08% | 13.58% | 9.77% | |
Avg Days To Max Increase | 13 | 18 | 18 | 14 | 16 | 18 | 14 | 17 | 17 | 11 | 11 | |
Avg Max Decline | -0.50% | -1.02% | -1.08% | -0.75% | -1.33% | -1.64% | -0.74% | -1.53% | -0.98% | -0.77% | -0.43% | |
Max Decline | -3.24% | -3.05% | -3.17% | -2.94% | -5.97% | -5.50% | -2.42% | -2.97% | -3.13% | -2.41% | -1.47% | |
Avg Days to Max Decline | 5 | 7 | 10 | 6 | 7 | 8 | 6 | 12 | 4 | 7 | 2 | |
2015 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | No | Yes |
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