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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 Dec 07, 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 18 25 28 34 34 35 35 35
Closed Higher   4 6 5 13 8 11 17 22 20 23 22
Exceeded High   3 5 4 12 7 8 17 19 16 22 20
Scenario Percentage   75% 83% 80% 92% 88% 73% 100% 86% 80% 96% 91%
Avg Max Increase   0.69% 1.24% 2.39% 1.20% 1.16% 0.67% 2.18% 1.86% 2.17% 1.56% 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% -0.56% -0.49% -0.45% -0.33%
Max Decline   -0.50% -0.94% -0.71% -1.97% -0.98% -0.71% -0.77% -3.34% -1.65% -1.71% -1.02%
Avg Days to Max Decline   4 6 7 7 6 4 8 6 11 6 5
2022 Contract Condition                 Yes   Yes  
Action                 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 18 25 28 34 34 35 35 35
Closed Lower   4 2 6 5 17 16 16 12 14 12 12
Penetrated Low   1 2 3 4 15 11 14 8 4 8 6
Scenario Percentage   25% 100% 50% 80% 88% 69% 88% 67% 29% 67% 50%
Avg Max Decline   1.78% 1.48% 1.00% 1.84% 1.68% 1.16% 1.62% 1.31% 1.43% 1.10% 1.39%
Max Decline   1.78% 2.56% 1.43% 4.23% 5.73% 3.10% 3.44% 2.67% 3.92% 2.64% 3.55%
Avg Days To Max Decline   29 28 15 21 15 13 15 13 16 13 13
Avg Max Increase   0.18% -0.25% -0.24% -0.27% -0.16% -0.09% -0.33% -0.59% -0.36% -0.61% -0.28%
Max Increase   0.18% -0.50% -0.67% -0.56% -0.86% -0.83% -1.22% -1.36% -0.56% -1.46% -0.51%
Avg Days to Max Increase   2 6 15 9 8 5 11 6 8 8 3
2022 Contract Condition         Yes Yes Yes Yes   Yes   Yes
Action         Yes Yes Yes Yes   No   Yes
High       120~312 120~140 118~280 119~060 113~296 113~210 112~300 113~314 114~076
Low       120~256 118~160 117~044 113~240 111~160 111~136 109~056 111~110 110~160
Close/Last       120~312 118~246 118~090 114~146 112~092 112~304 112~080 113~232 110~250

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