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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 Sep 16, 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 Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   7 8 11 21 23 29 34 34 34 34 34
Closed Higher   5 4 5 12 15 17 22 22 23 19 18
Exceeded High   5 4 2 11 13 15 21 21 21 16 11
Scenario Percentage   100% 100% 40% 92% 87% 88% 95% 95% 91% 84% 61%
Avg Max Increase   0.41% 0.69% 2.48% 1.79% 1.40% 1.79% 1.80% 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 17 17 16 17 14 17 12 10
Avg Max Decline   -0.49% -0.51% 0.16% -0.19% -0.32% -0.29% -0.41% -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 7 9 11 6 10 8 5 1
2021 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 21 23 29 34 34 34 34 34
Closed Lower   2 4 6 9 8 12 12 10 10 15 16
Penetrated Low   1 2 4 7 5 6 9 7 8 13 10
Scenario Percentage   50% 50% 67% 78% 63% 50% 75% 70% 80% 87% 63%
Avg Max Decline   0.36% 1.14% 0.58% 1.73% 1.80% 1.12% 0.90% 0.91% 1.13% 1.32% 1.05%
Max Decline   0.36% 1.51% 0.95% 4.28% 3.26% 4.51% 1.39% 1.88% 1.96% 2.98% 2.59%
Avg Days To Max Decline   9 13 6 15 13 11 13 17 17 12 12
Avg Max Increase   -0.56% 0.10% -0.04% -0.24% -0.49% -0.12% -0.68% -0.28% -0.34% -0.20% -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 9 9 8 4 4 3
2021 Contract Condition             Yes   Yes Yes Yes  
Action             Yes   Yes Yes Yes  
High       123~150 123~154 123~220 123~284 124~056 124~166 123~300 123~042 122~164
Low       122~266 122~262 123~072 122~284 122~262 123~064 122~154 121~124 120~272
Close/Last       122~266 123~084 123~172 122~316 123~316 123~230 122~236 121~240 121~292

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