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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 30, 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 Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   7 8 11 23 25 31 36 36 36 36 36
Closed Higher   5 4 5 13 16 17 23 22 23 19 20
Exceeded High   5 4 2 12 14 15 22 21 21 16 13
Scenario Percentage   100% 100% 40% 92% 88% 88% 96% 95% 91% 84% 65%
Avg Max Increase   0.41% 0.69% 2.48% 1.73% 1.37% 1.79% 1.74% 1.68% 1.69% 1.85% 1.09%
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 16 18 16 16 14 17 12 12
Avg Max Decline   -0.49% -0.51% 0.16% -0.20% -0.53% -0.29% -0.42% -0.51% -0.39% -0.33% -0.08%
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 6 9 11 6 10 8 5 2
2024 Contract Condition           Yes Yes Yes Yes Yes    
Action           Yes 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 23 25 31 36 36 36 36 36
Closed Lower   2 4 6 10 9 14 13 12 12 17 16
Penetrated Low   1 2 4 8 6 7 10 9 10 13 10
Scenario Percentage   50% 50% 67% 80% 67% 50% 77% 75% 83% 76% 63%
Avg Max Decline   0.36% 1.14% 0.58% 1.85% 1.95% 1.20% 1.06% 1.58% 1.25% 1.32% 1.05%
Max Decline   0.36% 1.51% 0.95% 4.28% 3.26% 4.51% 2.48% 4.84% 1.96% 2.98% 2.59%
Avg Days To Max Decline   9 13 6 15 12 12 15 18 18 12 12
Avg Max Increase   -0.56% 0.10% -0.04% -0.34% -0.46% -0.23% -0.66% -0.27% -0.41% -0.20% -0.28%
Max Increase   -0.56% -0.05% -0.18% -1.01% -1.05% -0.89% -1.53% -1.25% -1.13% -0.72% -0.62%
Avg Days to Max Increase   2 5 1 18 3 11 9 7 5 4 3
2024 Contract Condition         Yes              
Action         No              
High       107~304 107~180 106~314 107~150 108~234 110~256 110~286    
Low       107~304 105~162 105~212 106~100 106~162 108~190 109~100    
Close/Last       107~304 105~162 106~040 106~310 108~114 109~126 109~282    

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