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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March 5-Year T-Notes(CBOT) as of May 09, 2024
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   8 8 8 18 23 34 36 36 36 36 36
Closed Higher   5 5 3 11 15 23 18 20 18 22 16
Exceeded High   5 4 3 10 14 19 15 15 15 17 12
Scenario Percentage   100% 80% 100% 91% 93% 83% 83% 75% 83% 77% 75%
Avg Max Increase   1.62% 1.48% 1.81% 1.38% 1.33% 1.45% 1.56% 1.73% 1.72% 1.58% 0.99%
Max Increase   3.33% 3.04% 2.56% 3.04% 3.67% 3.50% 3.47% 4.30% 4.63% 4.07% 2.41%
Avg Days To Max Increase   16 23 27 15 12 18 15 13 15 14 13
Avg Max Decline   -0.07% -0.55% -0.27% -0.26% -0.37% -0.26% -0.31% -0.36% -0.46% -0.67% -0.26%
Max Decline   -0.26% -1.24% -0.62% -1.26% -1.50% -0.89% -1.27% -1.05% -1.68% -3.20% -0.90%
Avg Days to Max Decline   1 12 12 5 13 11 5 10 5 11 4
2024 Contract Condition                 Yes Yes    
Action                 Yes No    
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Feb Feb Feb Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   8 8 8 18 23 34 36 36 36 36 36
Closed Lower   3 3 5 7 8 11 18 16 18 14 20
Penetrated Low   3 3 2 6 6 9 13 13 12 10 18
Scenario Percentage   100% 100% 40% 86% 75% 82% 72% 81% 67% 71% 90%
Avg Max Decline   2.78% 2.57% 0.61% 1.04% 2.04% 1.27% 1.41% 1.31% 1.62% 1.79% 1.09%
Max Decline   4.28% 3.26% 1.03% 2.51% 4.74% 1.97% 3.24% 2.69% 3.14% 4.32% 3.83%
Avg Days To Max Decline   11 9 11 19 17 19 14 11 19 16 14
Avg Max Increase   -0.33% -0.40% -0.19% -0.37% -0.19% -0.49% -0.18% -0.36% -0.45% -0.53% -0.26%
Max Increase   -0.47% -1.05% -0.38% -0.66% -0.93% -2.24% -0.75% -1.04% -2.37% -0.94% -0.92%
Avg Days to Max Increase   18 4 10 9 6 6 6 3 10 10 3
2024 Contract Condition         Yes Yes Yes Yes     Yes Yes
Action         Yes Yes Yes No     Yes Not Yet
High       108~120 109~080 108~104 107~152 105~294 107~112 108~314 108~290 108~300
Low       108~120 107~126 106~240 105~110 104~040 104~212 106~242 107~142 106~040
Close/Last       108~120 108~016 107~214 105~264 104~256 106~272 108~246 108~124 106~162

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