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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 Dec 07, 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 14 16 18 22 30 32 33 33
Closed Higher   6 6 3 9 8 8 10 18 16 22 20
Exceeded High   5 4 2 8 6 6 9 12 13 20 16
Scenario Percentage   83% 67% 67% 89% 75% 75% 90% 67% 81% 91% 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
2022 Contract Condition                 Yes   Yes  
Action                 No   No  
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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 14 16 18 22 30 32 33 33
Closed Lower   2 2 5 5 8 10 12 12 15 11 13
Penetrated Low   1 2 2 5 8 8 11 8 5 7 3
Scenario Percentage   50% 100% 40% 100% 100% 80% 92% 67% 33% 64% 23%
Avg Max Decline   0.94% 0.43% 0.35% 0.59% 0.73% 0.67% 0.66% 0.47% 0.38% 0.37% 0.78%
Max Decline   0.94% 0.75% 0.59% 2.28% 2.64% 1.50% 1.33% 0.73% 0.84% 0.66% 1.58%
Avg Days To Max Decline   29 17 8 19 14 12 16 16 7 17 14
Avg Max Increase   0.05% -0.12% -0.02% -0.14% -0.08% 0.07% -0.18% -0.20% -0.16% -0.22% -0.17%
Max Increase   0.05% -0.22% -0.04% -0.32% -0.30% -0.13% -0.72% -0.58% -0.29% -0.64% -0.33%
Avg Days to Max Increase   2 8 15 10 8 7 12 7 8 10 7
2022 Contract Condition         Yes Yes Yes Yes   Yes   Yes
Action         Yes Yes Yes Yes   No   Yes
High       109~026 109~005 108~004 107~283 105~185 105~241 105~170 105~141 105~123
Low       109~011 107~317 107~060 105~181 104~245 104~215 103~244 104~145 104~054
Close/Last       109~026 108~007 107~195 105~243 105~000 105~175 105~002 105~073 104~087

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