MRCI's ScenarioSM Study

ScenarioSM Study for June 5-Year T-Notes(CBOT) as of Jan 21, 2022
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	18	22	30	33	33	33	33	33
Closed Higher		6	9	6	10	12	15	21	15	15	19	21
Exceeded High		5	9	6	6	9	13	17	13	11	18	17
Scenario Percentage		83%	100%	100%	60%	75%	87%	81%	87%	73%	95%	81%
Avg Max Increase		1.91%	1.11%	1.15%	1.48%	1.60%	1.55%	1.57%	1.32%	1.16%	1.81%	1.07%
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	14
Avg Max Decline		-0.51%	-0.40%	-0.45%	-0.09%	-0.32%	-0.14%	-0.49%	-0.44%	-0.37%	-0.29%	-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	5	9	5	7	7	3
2021 Contract Condition						Yes	Yes				Yes	Yes
Action						No	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	18	22	30	33	33	33	33	33
Closed Lower		2	1	4	8	10	15	12	17	18	14	12
Penetrated Low		2	1	3	5	10	9	9	15	10	13	7
Scenario Percentage		100%	100%	75%	63%	100%	60%	75%	88%	56%	93%	58%
Avg Max Decline		0.59%	1.02%	0.93%	1.22%	0.99%	1.60%	1.42%	1.50%	1.12%	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	15	15	20	23	16	10	14	15
Avg Max Increase		-0.37%	0.00%	-0.88%	-0.06%	-0.33%	-0.25%	-0.65%	-0.28%	-0.37%	-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	8	9	5	8	3
2021 Contract Condition					Yes			Yes	Yes	Yes
Action					Yes			Yes	Yes	Yes
High				126~154	126~130	126~062	126~036	126~050	125~236	124~194	124~064	124~206
Low				126~116	125~286	125~154	125~216	125~106	123~176	123~114	123~042	123~272
Close/Last				126~132	125~292	126~010	126~036	125~192	123~310	123~126	123~300	124~132