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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 Jun 23, 2023
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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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 22 24 30 35 35 35 35 35
Closed Lower   2 4 6 10 8 13 12 11 11 16 16
Penetrated Low   1 2 4 8 5 6 9 8 9 13 10
Scenario Percentage   50% 50% 67% 80% 63% 46% 75% 73% 82% 81% 63%
Avg Max Decline   0.36% 1.14% 0.58% 1.85% 1.80% 1.12% 0.90% 1.40% 1.22% 1.32% 1.05%
Max Decline   0.36% 1.51% 0.95% 4.28% 3.26% 4.51% 1.39% 4.84% 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% -0.34% -0.49% -0.12% -0.68% -0.26% -0.43% -0.20% -0.28%
Max Increase   -0.56% -0.05% -0.18% -1.01% -1.05% -0.56% -1.53% -1.25% -1.13% -0.72% -0.62%
Avg Days to Max Increase   2 5 1 18 4 9 9 8 4 4 3
2022 Contract Condition         Yes   Yes   Yes Yes Yes  
Action         Yes   No   Yes Yes No  
High       114~290 113~254 113~134 112~144 114~002 114~104 110~310 108~230 108~190
Low       113~240 111~266 111~232 109~100 111~136 110~160 106~172 105~146 105~182
Close/Last       114~146 112~092 112~304 112~080 113~252 110~262 107~162 106~190 108~072

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