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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   8 8 11 17 24 27 33 33 34 34 34
Closed Higher   4 6 5 13 8 11 17 21 20 22 22
Exceeded High   3 5 4 12 7 8 17 18 16 21 20
Scenario Percentage   75% 83% 80% 92% 88% 73% 100% 86% 80% 95% 91%
Avg Max Increase   0.69% 1.24% 2.39% 1.20% 1.16% 0.67% 2.18% 1.91% 2.17% 1.62% 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 12 13
Avg Max Decline   -0.17% -0.24% -0.31% -0.40% -0.27% -0.29% -0.31% -0.40% -0.49% -0.43% -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 6 11 6 5
2021 Contract Condition               Yes Yes   Yes  
Action               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 Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   8 8 11 17 24 27 33 33 34 34 34
Closed Lower   4 2 6 4 16 15 15 12 13 12 11
Penetrated Low   1 2 3 3 14 10 13 8 4 8 5
Scenario Percentage   25% 100% 50% 75% 88% 67% 87% 67% 31% 67% 45%
Avg Max Decline   1.78% 1.48% 1.00% 1.04% 1.39% 1.01% 1.53% 1.31% 1.43% 1.10% 0.96%
Max Decline   1.78% 2.56% 1.43% 2.20% 4.23% 3.10% 3.44% 2.67% 3.92% 2.64% 2.07%
Avg Days To Max Decline   29 28 15 20 15 14 15 13 16 13 10
Avg Max Increase   0.18% -0.25% -0.24% -0.24% -0.12% -0.15% -0.26% -0.59% -0.36% -0.61% -0.30%
Max Increase   0.18% -0.50% -0.67% -0.56% -0.86% -0.83% -0.80% -1.36% -0.56% -1.46% -0.51%
Avg Days to Max Increase   2 6 15 3 8 5 9 6 8 8 4
2021 Contract Condition         Yes Yes Yes     Yes   Yes
Action         Yes Yes Yes     No   Yes
High       126~036 126~050 125~222 124~144 123~206 124~024 124~110 124~220 124~302
Low       126~010 125~110 123~266 122~266 122~262 123~076 122~274 123~050 123~220
Close/Last       126~036 125~192 123~282 122~266 123~106 123~272 123~136 124~142 124~056

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