MRCI Online
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| ScenarioSM Study for December 5-Year T-Notes(CBOT) as of Jun 23, 2023 | ||||||||||||
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| 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 | 22 | 24 | 30 | 35 | 35 | 35 | 35 | 35 | |
| Closed Higher | 5 | 4 | 5 | 12 | 16 | 17 | 23 | 22 | 23 | 19 | 19 | |
| Exceeded High | 5 | 4 | 2 | 11 | 14 | 15 | 22 | 21 | 21 | 16 | 12 | |
| Scenario Percentage | 100% | 100% | 40% | 92% | 88% | 88% | 96% | 95% | 91% | 84% | 63% | |
| Avg Max Increase | 0.41% | 0.69% | 2.48% | 1.79% | 1.37% | 1.79% | 1.74% | 1.68% | 1.69% | 1.85% | 0.99% | |
| 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 | 18 | 16 | 16 | 14 | 17 | 12 | 10 | |
| Avg Max Decline | -0.49% | -0.51% | 0.16% | -0.19% | -0.53% | -0.29% | -0.42% | -0.51% | -0.39% | -0.33% | -0.09% | |
| Max Decline | -1.99% | -1.83% | 0.00% | -0.87% | -3.22% | -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 | |
| 2022 Contract Condition | Yes | Yes | Yes | |||||||||
| Action | Yes | Yes | Yes | |||||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
