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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, 2019
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 31 35 35 36 36 37 37 37
Closed Higher   10 14 15 21 17 12 17 17 21 23 27
Exceeded High   7 11 13 16 16 8 16 15 16 21 19
Scenario Percentage   70% 79% 87% 76% 94% 67% 94% 88% 76% 91% 70%
Avg Max Increase   2.97% 2.91% 3.14% 2.29% 1.52% 3.29% 3.70% 2.97% 3.54% 3.01% 1.60%
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 17 15 19 17 11 10
Avg Max Decline   -0.14% -0.54% -0.79% -0.51% -0.94% -0.42% -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
2018 Contract Condition             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 Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   17 20 27 31 35 35 36 36 37 37 37
Closed Lower   7 6 12 10 18 22 18 19 16 14 10
Penetrated Low   4 3 8 10 15 16 15 11 8 9 4
Scenario Percentage   57% 50% 67% 100% 83% 73% 83% 58% 50% 64% 40%
Avg Max Decline   1.67% 1.53% 1.99% 1.77% 2.32% 2.71% 3.01% 2.49% 2.50% 1.97% 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 18 18 16 15 9 10 8
Avg Max Increase   -0.04% -0.57% -1.11% -0.49% -0.40% -0.81% -0.38% -0.68% -0.61% -0.55% -0.29%
Max Increase   -1.44% -0.88% -3.52% -1.37% -1.28% -3.65% -1.64% -1.83% -1.58% -1.11% -0.46%
Avg Days to Max Increase   7 6 18 7 10 12 9 4 9 7 3
2018 Contract Condition         Yes Yes   Yes   Yes Yes  
Action         Yes Yes   Yes   No Yes  
High       123~310 123~000 121~000 120~315 121~035 121~030 120~145 120~200 120~240
Low       122~200 120~200 119~035 119~130 118~195 117~300 118~295 119~080 119~025
Close/Last       123~085 120~200 119~185 120~285 119~090 120~140 120~060 119~135 120~125

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