MRCI's ScenarioSM Study

ScenarioSM Study for June 2 Year T-Notes(CBOT) as of Jan 21, 2022
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	13	14	15	19	27	31	31	31
Closed Higher		4	6	4	7	8	7	14	15	15	18	19
Exceeded High		4	6	4	4	6	6	11	13	12	16	13
Scenario Percentage		100%	100%	100%	57%	75%	86%	79%	87%	80%	89%	68%
Avg Max Increase		0.41%	0.63%	0.60%	0.78%	0.53%	0.38%	0.49%	0.56%	0.48%	0.61%	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	17	14	14	17	16	17
Avg Max Decline		-0.10%	-0.09%	-0.07%	-0.01%	-0.19%	-0.11%	-0.24%	-0.19%	-0.20%	-0.09%	-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
2021 Contract Condition							Yes				Yes	Yes
Action							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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		8	8	8	13	14	15	19	27	31	31	31
Closed Lower		4	2	4	6	5	8	5	12	15	13	12
Penetrated Low		3	2	2	5	5	4	5	9	10	10	9
Scenario Percentage		75%	100%	50%	83%	100%	50%	100%	75%	67%	77%	75%
Avg Max Decline		0.31%	0.27%	0.14%	0.46%	0.42%	0.44%	0.43%	0.68%	0.51%	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	19	21	14	17	15	16	17	17
Avg Max Increase		-0.06%	0.00%	-0.08%	-0.03%	-0.08%	-0.04%	-0.15%	-0.13%	-0.10%	-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	10	11	8	7	6
2021 Contract Condition					Yes			Yes	Yes	Yes
Action					Yes			Yes	No	Yes
High				110~154	110~150	110~142	110~155	110~156	110~156	110~145	110~130	110~144
Low				110~147	110~130	110~105	110~114	110~135	110~093	110~105	110~094	110~114
Close/Last				110~153	110~135	110~135	110~155	110~151	110~122	110~115	110~121	110~142