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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 10-Year T-Notes(CBOT) as of May 10, 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 Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   20 22 29 38 40 40 40 41 41 41 41
Closed Higher   12 17 21 20 23 22 28 20 17 21 20
Exceeded High   10 16 20 14 21 19 21 16 10 20 15
Scenario Percentage   83% 94% 95% 70% 91% 86% 75% 80% 59% 95% 75%
Avg Max Increase   3.74% 2.90% 2.52% 3.18% 2.53% 2.95% 2.75% 2.28% 2.96% 3.02% 1.63%
Max Increase   9.06% 11.62% 7.59% 7.76% 5.65% 8.72% 11.48% 6.91% 9.31% 10.46% 3.23%
Avg Days To Max Increase   15 13 19 15 16 18 15 13 17 11 11
Avg Max Decline   -0.55% -0.54% -0.32% -0.33% -0.55% -0.85% -0.94% -0.59% -0.71% -0.46% -0.20%
Max Decline   -2.13% -1.84% -1.22% -1.32% -2.12% -3.16% -4.07% -1.61% -2.32% -1.24% -0.64%
Avg Days to Max Decline   4 11 8 6 6 9 10 5 9 5 2
2024 Contract Condition           Yes Yes     Yes   Yes
Action           Yes No     Not Yet    
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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 Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   20 22 29 38 40 40 40 41 41 41 41
Closed Lower   8 4 8 18 17 18 12 21 23 19 20
Penetrated Low   4 2 4 13 13 12 10 19 15 16 11
Scenario Percentage   50% 50% 50% 72% 76% 67% 83% 90% 65% 84% 55%
Avg Max Decline   1.56% 0.82% 2.76% 1.77% 1.89% 2.31% 2.23% 2.39% 2.87% 2.93% 1.77%
Max Decline   2.47% 1.51% 4.16% 5.28% 4.97% 4.57% 5.41% 7.21% 8.91% 6.51% 3.48%
Avg Days To Max Decline   10 5 12 13 11 18 18 15 15 14 11
Avg Max Increase   -0.31% -0.10% -0.96% -0.19% -0.47% -0.94% -0.76% -0.45% -0.72% -0.47% -0.52%
Max Increase   -1.04% -0.20% -2.92% -1.61% -1.41% -3.63% -1.59% -1.32% -3.49% -1.78% -1.80%
Avg Days to Max Increase   4 3 10 5 5 11 8 6 11 5 2
2024 Contract Condition         Yes     Yes Yes   Yes  
Action         No     Yes Yes   Not Yet  
High       110~070 108~255 110~310 113~315 113~160 113~290 112~045 110~290 109~095
Low       108~000 106~075 107~215 110~215 111~135 109~255 109~245 107~040 107~125
Close/Last       108~310 106~305 110~115 113~200 112~310 110~140 110~255 107~140 108~225

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