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