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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 10-Year T-Notes(CBOT) as of Jan 01, 2018
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 Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   17 20 27 30 34 34 35 35 36 36 36
Closed Higher   10 14 15 21 17 11 17 16 21 23 26
Exceeded High   7 11 13 16 16 7 16 15 16 21 19
Scenario Percentage   70% 79% 87% 76% 94% 64% 94% 94% 76% 91% 73%
Avg Max Increase   2.97% 2.91% 3.14% 2.29% 1.52% 3.73% 3.70% 2.97% 3.54% 3.03% 1.62%
Max Increase   7.63% 5.70% 8.99% 11.72% 6.75% 9.14% 10.78% 6.35% 7.98% 9.50% 3.28%
Avg Days To Max Increase   16 19 15 11 15 19 15 19 17 11 10
Avg Max Decline   -0.14% -0.54% -0.79% -0.51% -0.94% -0.46% -0.47% -0.38% -0.71% -0.62% -0.45%
Max Decline   -0.84% -2.18% -3.19% -2.77% -2.71% -1.37% -1.32% -1.03% -2.41% -2.24% -1.37%
Avg Days to Max Decline   2 5 10 7 9 4 6 7 10 5 2
2017 Contract Condition           Yes   Yes Yes   Yes Yes
Action           Yes   Yes Yes   Yes Yes
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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 Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   17 20 27 30 34 34 35 35 36 36 36
Closed Lower   7 6 12 9 17 22 17 19 15 13 10
Penetrated Low   4 3 8 9 14 16 14 11 8 8 4
Scenario Percentage   57% 50% 67% 100% 82% 73% 82% 58% 53% 62% 40%
Avg Max Decline   1.67% 1.53% 1.99% 1.82% 2.43% 2.71% 3.14% 2.49% 2.50% 2.17% 1.69%
Max Decline   2.29% 2.87% 4.22% 4.63% 5.93% 9.11% 6.90% 4.91% 6.67% 5.63% 3.68%
Avg Days To Max Decline   15 3 20 13 17 18 16 15 9 9 8
Avg Max Increase   -0.04% -0.57% -1.11% -0.51% -0.34% -0.81% -0.39% -0.68% -0.61% -0.48% -0.29%
Max Increase   -1.44% -0.88% -3.52% -1.37% -1.18% -3.65% -1.64% -1.83% -1.58% -1.10% -0.46%
Avg Days to Max Increase   7 6 18 7 8 12 9 4 9 5 3
2017 Contract Condition         Yes   Yes     Yes    
Action         Yes   No     Yes    
High       123~200 124~275 124~235 124~120 126~100 126~130 127~080 126~120 127~190
Low       122~180 123~010 123~010 122~020 124~010 124~120 125~145 124~255 125~215
Close/Last       123~200 123~175 124~070 124~015 125~125 126~095 125~170 125~285 127~080

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