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ScenarioSM Study for December 30-Year T-Bonds(CBOT) as of Jan 01, 2009 | ||||||||||||
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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 | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
Tested Years | 31 | 31 | 31 | 31 | 31 | 31 | 31 | 31 | 32 | 32 | 32 | |
Closed Higher | 17 | 15 | 11 | 13 | 13 | 23 | 16 | 20 | 17 | 18 | 24 | |
Exceeded High | 11 | 10 | 7 | 12 | 13 | 16 | 16 | 19 | 15 | 16 | 15 | |
Scenario Percentage | 65% | 67% | 64% | 92% | 100% | 70% | 100% | 95% | 88% | 89% | 63% | |
Avg Max Increase | 3.22% | 3.85% | 8.02% | 6.27% | 4.55% | 4.88% | 4.60% | 4.79% | 4.35% | 4.54% | 2.92% | |
Max Increase | 6.77% | 11.95% | 21.24% | 13.90% | 8.88% | 12.26% | 13.77% | 17.57% | 11.82% | 13.48% | 11.21% | |
Avg Days To Max Increase | 12 | 17 | 19 | 15 | 17 | 18 | 13 | 18 | 16 | 11 | 12 | |
Avg Max Decline | -0.31% | -1.07% | -0.95% | -0.90% | -0.41% | -1.18% | -0.56% | -1.07% | -0.95% | -0.98% | -0.64% | |
Max Decline | -1.75% | -2.31% | -3.17% | -2.49% | -1.47% | -4.65% | -1.75% | -3.02% | -2.56% | -3.07% | -1.52% | |
Avg Days to Max Decline | 4 | 11 | 6 | 9 | 5 | 10 | 4 | 7 | 6 | 6 | 3 | |
2008 Contract Condition | Yes | Yes | Yes | Yes | ||||||||
Action | No | Yes | Yes | Yes |
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