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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 Jun 08, 2020
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 14 19 30 32 32 32 32 32
Closed Higher   5 5 3 8 15 22 18 16 16 21 16
Exceeded High   5 4 3 7 14 19 15 13 14 16 12
Scenario Percentage   100% 80% 100% 88% 93% 86% 83% 81% 88% 76% 75%
Avg Max Increase   1.62% 1.48% 1.81% 1.90% 1.33% 1.45% 1.56% 1.70% 1.84% 1.59% 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 16 12 18 15 12 16 14 13
Avg Max Decline   -0.07% -0.55% -0.27% -0.36% -0.37% -0.26% -0.31% -0.35% -0.49% -0.51% -0.26%
Max Decline   -0.26% -1.24% -0.62% -1.26% -1.50% -0.89% -1.27% -1.05% -1.68% -1.88% -0.90%
Avg Days to Max Decline   1 12 12 6 13 11 5 8 5 9 4
2020 Contract Condition           Yes   Yes     Yes Yes
Action           Yes   No     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 Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   8 8 8 14 19 30 32 32 32 32 32
Closed Lower   3 3 5 6 4 8 14 16 16 11 16
Penetrated Low   3 3 2 5 3 6 11 13 10 7 15
Scenario Percentage   100% 100% 40% 83% 75% 75% 79% 81% 63% 64% 94%
Avg Max Decline   2.78% 2.57% 0.61% 0.74% 0.60% 1.06% 1.57% 1.31% 1.49% 1.42% 0.97%
Max Decline   4.28% 3.26% 1.03% 1.25% 1.02% 1.97% 3.24% 2.69% 3.14% 1.92% 2.29%
Avg Days To Max Decline   11 9 11 17 12 18 13 11 19 14 13
Avg Max Increase   -0.33% -0.40% -0.19% -0.40% -0.44% -0.55% -0.13% -0.36% -0.31% -0.62% -0.23%
Max Increase   -0.47% -1.05% -0.38% -0.66% -0.93% -2.24% -0.75% -1.04% -0.88% -0.94% -0.92%
Avg Days to Max Increase   18 4 10 9 11 8 6 3 10 10 4
2020 Contract Condition         Yes   Yes   Yes Yes    
Action         No   No   Yes No    
High       118~114 118~122 119~304 120~084 120~166 119~200 119~152 120~130 122~126
Low       117~230 117~200 118~196 118~016 118~236 118~050 118~034 118~146 119~150
Close/Last       118~070 117~244 119~272 119~024 119~172 118~310 118~194 120~102 122~086

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US stock indices have still continued into new all-time highs, and some international stock markets have also been trending higher. Are there certain times of the year that have consistently provided incredible opportunities? But which way and when? MRCI has just released the 2024 Historical Indices Report, complete with seasonal patterns not only for US futures on S&P500, S&P MidCap 400, NASDAQ 100, Russell 2000, and DJIA but also for futures on several major international indices including the FT-SE 100, CAC 40, Nikkei 225, DAX, Euro STOXX 50, Swiss Market Index, SPI 200, and Hang Seng Index.