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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 Apr 26, 2024
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 15 17 19 23 31 33 34 34
Closed Higher   6 6 3 10 8 9 10 18 16 22 20
Exceeded High   5 4 2 9 6 6 9 12 13 20 16
Scenario Percentage   83% 67% 67% 90% 75% 67% 90% 67% 81% 91% 80%
Avg Max Increase   0.69% 0.39% 0.54% 0.59% 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 13 21 16 18 18 19 14 15
Avg Max Decline   -0.01% -0.22% -0.02% -0.32% -0.07% -0.19% -0.10% -0.30% -0.20% -0.18% -0.12%
Max Decline   -0.04% -0.50% -0.03% -1.56% -0.67% -0.65% -0.23% -1.12% -0.76% -0.64% -0.39%
Avg Days to Max Decline   4 18 2 11 11 12 9 6 12 7 4
2023 Contract Condition         Yes   Yes          
Action         Yes   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 15 17 19 23 31 33 34 34
Closed Lower   2 2 5 5 9 10 13 13 16 12 14
Penetrated Low   1 2 2 5 9 8 12 9 6 8 3
Scenario Percentage   50% 100% 40% 100% 100% 80% 92% 69% 38% 67% 21%
Avg Max Decline   0.94% 0.43% 0.35% 0.59% 0.70% 0.67% 0.78% 0.61% 0.41% 0.38% 0.78%
Max Decline   0.94% 0.75% 0.59% 2.28% 2.64% 1.50% 2.08% 1.71% 0.84% 0.66% 1.58%
Avg Days To Max Decline   29 17 8 19 14 12 17 15 10 18 14
Avg Max Increase   0.05% -0.12% -0.02% -0.14% -0.06% 0.07% -0.23% -0.20% -0.21% -0.23% -0.17%
Max Increase   0.05% -0.22% -0.04% -0.32% -0.30% -0.13% -0.81% -0.58% -0.50% -0.64% -0.33%
Avg Days to Max Increase   2 8 15 10 8 7 12 7 9 10 7
2023 Contract Condition           Yes   Yes Yes Yes Yes Yes
Action           Yes   Yes Yes Yes Yes Not Yet
High       102~292 103~300 103~224 104~290 104~122 104~180 103~026 102~056 101~254
Low       102~292 102~296 102~093 101~256 103~100 102~132 101~182 101~050 101~026
Close/Last       102~292 103~134 102~110 103~252 103~232 102~292 101~214 101~164 101~163

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