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ScenarioSM Study for December 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 | Feb | Feb | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
Tested Years | 32 | 32 | 32 | 33 | 33 | 33 | 33 | 33 | 34 | 34 | 34 | |
Closed Higher | 17 | 15 | 12 | 14 | 14 | 25 | 18 | 22 | 18 | 18 | 25 | |
Exceeded High | 11 | 10 | 8 | 13 | 14 | 18 | 18 | 20 | 16 | 16 | 15 | |
Scenario Percentage | 65% | 67% | 67% | 93% | 100% | 72% | 100% | 91% | 89% | 89% | 60% | |
Avg Max Increase | 3.22% | 3.85% | 7.11% | 6.40% | 4.61% | 4.89% | 4.65% | 4.73% | 4.20% | 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 | 17 | 16 | 17 | 18 | 15 | 17 | 15 | 11 | 12 | |
Avg Max Decline | -0.31% | -1.07% | -0.83% | -0.91% | -0.45% | -1.19% | -0.75% | -1.10% | -0.90% | -0.98% | -0.64% | |
Max Decline | -1.75% | -2.31% | -3.17% | -2.49% | -1.47% | -4.65% | -3.58% | -3.02% | -2.56% | -3.07% | -1.52% | |
Avg Days to Max Decline | 4 | 11 | 5 | 9 | 5 | 10 | 4 | 7 | 6 | 6 | 3 | |
2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | Yes | No |
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