MRCI Online
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| ScenarioSM Study for September 5-Year T-Notes(CBOT) as of May 10, 2021 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug |
| Tested Years | 8 | 8 | 11 | 16 | 23 | 26 | 32 | 32 | 33 | 33 | 33 | |
| Closed Higher | 4 | 6 | 5 | 13 | 8 | 11 | 16 | 20 | 20 | 21 | 22 | |
| Exceeded High | 3 | 5 | 4 | 12 | 7 | 8 | 16 | 17 | 16 | 20 | 20 | |
| Scenario Percentage | 75% | 83% | 80% | 92% | 88% | 73% | 100% | 85% | 80% | 95% | 91% | |
| Avg Max Increase | 0.69% | 1.24% | 2.39% | 1.20% | 1.16% | 0.67% | 2.27% | 1.99% | 2.17% | 1.68% | 1.06% | |
| Max Increase | 1.25% | 2.59% | 4.50% | 3.88% | 2.33% | 1.42% | 5.64% | 5.13% | 4.81% | 3.73% | 2.70% | |
| Avg Days To Max Increase | 20 | 17 | 16 | 11 | 16 | 8 | 18 | 20 | 17 | 13 | 13 | |
| Avg Max Decline | -0.17% | -0.24% | -0.31% | -0.40% | -0.27% | -0.29% | -0.33% | -0.38% | -0.49% | -0.45% | -0.33% | |
| Max Decline | -0.50% | -0.94% | -0.71% | -1.97% | -0.98% | -0.71% | -0.77% | -1.34% | -1.65% | -1.71% | -1.02% | |
| Avg Days to Max Decline | 4 | 6 | 7 | 7 | 6 | 4 | 8 | 5 | 11 | 6 | 5 | |
| 2020 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
| Action | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
