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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 Apr 03, 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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