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