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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 2 Year T-Notes(CBOT) as of Nov 09, 2020
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 Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   8 8 8 12 13 14 18 26 30 30 30
Closed Higher   4 6 4 7 8 6 14 15 15 17 18
Exceeded High   4 6 4 4 6 5 11 13 12 15 13
Scenario Percentage   100% 100% 100% 57% 75% 83% 79% 87% 80% 88% 72%
Avg Max Increase   0.41% 0.63% 0.60% 0.78% 0.53% 0.45% 0.49% 0.56% 0.48% 0.65% 0.46%
Max Increase   0.91% 1.57% 1.58% 2.17% 0.97% 0.73% 2.04% 1.31% 1.84% 2.29% 1.05%
Avg Days To Max Increase   15 13 18 9 20 20 14 14 17 15 17
Avg Max Decline   -0.10% -0.09% -0.07% -0.01% -0.19% -0.12% -0.24% -0.19% -0.20% -0.10% -0.10%
Max Decline   -0.18% -0.24% -0.18% -0.04% -0.50% -0.52% -0.68% -0.54% -0.47% -0.26% -0.26%
Avg Days to Max Decline   15 11 5 4 21 6 12 9 12 8 2
2020 Contract Condition         Yes     Yes Yes Yes Yes Yes
Action         No     Yes Yes No 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 Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   8 8 8 12 13 14 18 26 30 30 30
Closed Lower   4 2 4 5 5 8 4 11 14 13 12
Penetrated Low   3 2 2 4 5 4 4 9 9 10 9
Scenario Percentage   75% 100% 50% 80% 100% 50% 100% 82% 64% 77% 75%
Avg Max Decline   0.31% 0.27% 0.14% 0.55% 0.42% 0.44% 0.49% 0.68% 0.56% 0.70% 0.37%
Max Decline   0.43% 0.29% 0.14% 0.82% 0.80% 0.82% 1.29% 2.02% 1.48% 1.24% 0.78%
Avg Days To Max Decline   10 11 25 21 21 14 15 15 17 17 17
Avg Max Increase   -0.06% 0.00% -0.08% -0.03% -0.08% -0.04% -0.19% -0.13% -0.11% -0.11% -0.16%
Max Increase   -0.14% 0.00% -0.13% -0.14% -0.22% -0.11% -0.37% -0.44% -0.49% -0.23% -0.53%
Avg Days to Max Increase   2 2 2 2 4 17 12 11 9 7 6
2020 Contract Condition           Yes Yes          
Action           Yes No          
High       108~010 108~135 107~293 107~292 108~130 109~073 110~190 110~081 110~116
Low       107~276 107~245 107~202 107~201 107~252 108~021 109~021 110~010 110~053
Close/Last       107~301 108~002 107~253 107~250 108~121 109~052 110~061 110~067 110~090

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