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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 5-Year T-Notes(CBOT) as of Nov 09, 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 Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   8 10 10 17 21 29 32 32 32 32 32
Closed Higher   6 9 6 10 11 14 21 15 15 18 20
Exceeded High   5 9 6 6 9 12 17 13 11 17 16
Scenario Percentage   83% 100% 100% 60% 82% 86% 81% 87% 73% 94% 80%
Avg Max Increase   1.91% 1.11% 1.15% 1.48% 1.60% 1.68% 1.57% 1.32% 1.16% 1.88% 1.12%
Max Increase   2.75% 2.08% 3.26% 3.23% 3.63% 4.67% 4.28% 2.96% 4.16% 5.46% 2.19%
Avg Days To Max Increase   20 14 20 16 16 13 13 13 13 15 15
Avg Max Decline   -0.51% -0.40% -0.45% -0.09% -0.32% -0.15% -0.49% -0.44% -0.37% -0.30% -0.24%
Max Decline   -1.26% -1.10% -0.86% -0.50% -0.99% -0.77% -2.06% -1.04% -1.47% -0.72% -0.77%
Avg Days to Max Decline   6 16 9 3 9 6 9 5 7 8 3
2020 Contract Condition         Yes     Yes Yes Yes Yes Yes
Action         No     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 Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   8 10 10 17 21 29 32 32 32 32 32
Closed Lower   2 1 4 7 10 15 11 16 17 14 12
Penetrated Low   2 1 3 4 10 9 8 14 9 13 7
Scenario Percentage   100% 100% 75% 57% 100% 60% 73% 88% 53% 93% 58%
Avg Max Decline   0.59% 1.02% 0.93% 1.43% 0.99% 1.60% 1.37% 1.55% 1.22% 1.44% 1.32%
Max Decline   0.76% 1.02% 1.17% 3.26% 2.54% 3.14% 2.46% 4.18% 3.04% 2.83% 2.23%
Avg Days To Max Decline   11 5 13 17 15 20 22 17 11 14 15
Avg Max Increase   -0.37% 0.00% -0.88% -0.02% -0.33% -0.25% -0.72% -0.26% -0.39% -0.33% -0.38%
Max Increase   -0.60% 0.00% -2.24% -0.24% -0.74% -0.89% -1.17% -0.89% -1.06% -0.93% -1.13%
Avg Days to Max Increase   9 3 4 4 7 10 9 9 5 8 3
2020 Contract Condition           Yes Yes          
Action           Yes No          
High       119~090 120~150 119~110 119~116 120~260 122~282 125~286 125~232 125~290
Low       118~264 118~262 118~114 118~082 118~194 119~264 122~160 124~202 125~064
Close/Last       119~024 119~172 118~310 118~194 120~232 122~240 125~114 125~154 125~262

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