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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 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 Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   7 8 11 20 22 28 33 33 33 33 33
Closed Higher   5 4 5 11 14 17 21 22 23 19 17
Exceeded High   5 4 2 10 12 15 20 21 21 16 11
Scenario Percentage   100% 100% 40% 91% 86% 88% 95% 95% 91% 84% 65%
Avg Max Increase   0.41% 0.69% 2.48% 1.91% 1.48% 1.79% 1.87% 1.68% 1.69% 1.85% 0.97%
Max Increase   0.94% 1.89% 4.28% 4.52% 5.00% 4.07% 4.64% 3.92% 6.42% 8.59% 3.05%
Avg Days To Max Increase   5 19 16 18 17 16 18 14 17 12 10
Avg Max Decline   -0.49% -0.51% 0.16% -0.20% -0.30% -0.29% -0.43% -0.51% -0.39% -0.33% -0.10%
Max Decline   -1.99% -1.83% 0.00% -0.87% -1.24% -1.37% -1.82% -1.57% -1.12% -1.00% -0.32%
Avg Days to Max Decline   8 14 2 6 7 11 7 10 8 5 1
2020 Contract Condition           Yes Yes Yes       Yes
Action           Yes Yes Yes       Not Yet
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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 Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   7 8 11 20 22 28 33 33 33 33 33
Closed Lower   2 4 6 9 8 11 12 9 9 14 16
Penetrated Low   1 2 4 7 5 5 9 6 7 12 10
Scenario Percentage   50% 50% 67% 78% 63% 45% 75% 67% 78% 86% 63%
Avg Max Decline   0.36% 1.14% 0.58% 1.73% 1.80% 1.32% 0.90% 0.75% 1.07% 1.37% 1.05%
Max Decline   0.36% 1.51% 0.95% 4.28% 3.26% 4.51% 1.39% 1.14% 1.96% 2.98% 2.59%
Avg Days To Max Decline   9 13 6 15 13 13 13 15 16 11 12
Avg Max Increase   -0.56% 0.10% -0.04% -0.24% -0.49% -0.17% -0.68% -0.30% -0.34% -0.16% -0.28%
Max Increase   -0.56% -0.05% -0.18% -0.47% -1.05% -0.56% -1.53% -1.25% -1.06% -0.72% -0.62%
Avg Days to Max Increase   2 5 1 17 4 11 9 9 4 4 3
2020 Contract Condition         Yes       Yes   Yes  
Action         No       Yes   Yes  
High       125~130 125~134 125~202 125~246 126~096 126~124 126~064 126~034 125~294
Low       124~314 124~194 125~062 124~236 125~204 125~216 125~254 125~164 125~046
Close/Last       125~114 125~112 125~200 125~236 126~086 126~010 126~010 125~192 125~222

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