MRCI Online
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| ScenarioSM Study for June 5-Year T-Notes(CBOT) as of Dec 27, 2023 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | 20 | 24 | 32 | 35 | 35 | 35 | 35 | 35 | |
| Closed Higher | 6 | 9 | 6 | 10 | 14 | 15 | 22 | 15 | 16 | 20 | 22 | |
| Exceeded High | 5 | 9 | 6 | 6 | 10 | 13 | 18 | 13 | 12 | 19 | 17 | |
| Scenario Percentage | 83% | 100% | 100% | 60% | 71% | 87% | 82% | 87% | 75% | 95% | 77% | |
| Avg Max Increase | 1.91% | 1.11% | 1.15% | 1.48% | 1.64% | 1.55% | 1.56% | 1.32% | 1.20% | 1.80% | 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 | 12 | 14 | 14 | |
| Avg Max Decline | -0.51% | -0.40% | -0.45% | -0.09% | -0.35% | -0.14% | -0.65% | -0.44% | -0.40% | -0.30% | -0.24% | |
| Max Decline | -1.26% | -1.10% | -0.86% | -0.50% | -0.99% | -0.77% | -3.33% | -1.04% | -1.47% | -0.72% | -0.77% | |
| Avg Days to Max Decline | 6 | 16 | 9 | 3 | 11 | 5 | 10 | 5 | 8 | 7 | 3 | |
| 2023 Contract Condition | Yes | Yes | Yes | Yes | ||||||||
| Action | Yes | Yes | Yes | Yes | ||||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
