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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 Apr 26, 2024
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 19 26 29 35 35 36 36 36
Closed Higher   4 6 5 14 8 12 18 22 20 23 22
Exceeded High   3 5 4 12 7 9 18 19 16 22 20
Scenario Percentage   75% 83% 80% 86% 88% 75% 100% 86% 80% 96% 91%
Avg Max Increase   0.69% 1.24% 2.39% 1.20% 1.16% 0.79% 2.14% 1.86% 2.17% 1.56% 1.06%
Max Increase   1.25% 2.59% 4.50% 3.88% 2.33% 1.78% 5.64% 5.13% 4.81% 3.73% 2.70%
Avg Days To Max Increase   20 17 16 11 16 8 17 20 17 12 13
Avg Max Decline   -0.17% -0.24% -0.31% -0.40% -0.27% -0.32% -0.32% -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 5 7 6 11 6 5
2023 Contract Condition         Yes   Yes Yes        
Action         No   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 19 26 29 35 35 36 36 36
Closed Lower   4 2 6 5 18 16 16 13 15 13 13
Penetrated Low   1 2 3 4 16 11 14 9 5 9 7
Scenario Percentage   25% 100% 50% 80% 89% 69% 88% 69% 33% 69% 54%
Avg Max Decline   1.78% 1.48% 1.00% 1.84% 1.62% 1.16% 1.62% 1.52% 1.46% 1.20% 1.43%
Max Decline   1.78% 2.56% 1.43% 4.23% 5.73% 3.10% 3.44% 3.18% 3.92% 2.64% 3.55%
Avg Days To Max Decline   29 28 15 21 15 13 15 12 18 14 15
Avg Max Increase   0.18% -0.25% -0.24% -0.27% -0.13% -0.09% -0.33% -0.56% -0.48% -0.60% -0.29%
Max Increase   0.18% -0.50% -0.67% -0.56% -0.86% -0.83% -1.22% -1.36% -0.92% -1.46% -0.51%
Avg Days to Max Increase   2 6 15 9 8 5 11 5 10 8 3
2023 Contract Condition           Yes     Yes Yes Yes Yes
Action           Yes     Yes Yes Yes Yes
High       108~136 111~020 110~234 110~314 111~160 111~310 109~154 108~024 107~122
Low       108~136 108~164 107~122 106~240 109~104 107~302 106~266 105~194 105~136
Close/Last       108~136 109~314 107~176 110~002 110~106 109~024 107~030 106~262 106~130

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