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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   8 8 8 13 15 17 21 29 31 32 32
Closed Higher   6 6 3 9 8 8 10 17 16 21 20
Exceeded High   5 4 2 8 6 6 9 12 13 20 16
Scenario Percentage   83% 67% 67% 89% 75% 75% 90% 71% 81% 95% 80%
Avg Max Increase   0.69% 0.39% 0.54% 0.48% 0.42% 0.29% 0.69% 0.62% 0.89% 0.67% 0.53%
Max Increase   2.17% 0.59% 0.82% 1.78% 1.12% 0.58% 2.63% 2.30% 2.14% 2.04% 1.59%
Avg Days To Max Increase   9 26 29 12 21 16 18 18 19 14 15
Avg Max Decline   -0.01% -0.22% -0.02% -0.16% -0.07% -0.19% -0.10% -0.30% -0.20% -0.18% -0.12%
Max Decline   -0.04% -0.50% -0.03% -0.60% -0.67% -0.65% -0.23% -1.12% -0.76% -0.64% -0.39%
Avg Days to Max Decline   4 18 2 8 11 12 9 6 12 7 4
2021 Contract Condition                 Yes   Yes  
Action                 No   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 Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   8 8 8 13 15 17 21 29 31 32 32
Closed Lower   2 2 5 4 7 9 11 12 14 11 12
Penetrated Low   1 2 2 4 7 7 10 8 5 7 2
Scenario Percentage   50% 100% 40% 100% 100% 78% 91% 67% 36% 64% 17%
Avg Max Decline   0.94% 0.43% 0.35% 0.16% 0.45% 0.62% 0.61% 0.47% 0.38% 0.37% 0.39%
Max Decline   0.94% 0.75% 0.59% 0.21% 1.43% 1.50% 1.33% 0.73% 0.84% 0.66% 0.54%
Avg Days To Max Decline   29 17 8 17 13 13 16 16 7 17 9
Avg Max Increase   0.05% -0.12% -0.02% -0.18% -0.05% 0.06% -0.12% -0.20% -0.16% -0.22% -0.17%
Max Increase   0.05% -0.22% -0.04% -0.32% -0.30% -0.13% -0.34% -0.58% -0.29% -0.64% -0.33%
Avg Days to Max Increase   2 8 15 13 9 6 11 7 8 10 8
2021 Contract Condition         Yes Yes Yes Yes   Yes   Yes
Action         Yes Yes Yes Yes   No   Not Yet
High       110~155 110~156 110~155 110~143 110~113 110~121 110~116 110~107 110~123
Low       110~152 110~135 110~112 110~111 110~051 110~084 110~015 110~035 110~062
Close/Last       110~155 110~151 110~122 110~114 110~087 110~116 110~051 110~104 110~102

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