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