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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 Jul 16, 2025
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 16 18 20 24 32 34 35 35
Closed Higher   6 6 3 10 8 9 10 19 17 23 21
Exceeded High   5 4 2 9 6 6 9 13 14 21 17
Scenario Percentage   83% 67% 67% 90% 75% 67% 90% 68% 82% 91% 81%
Avg Max Increase   0.69% 0.39% 0.54% 0.59% 0.42% 0.29% 0.69% 0.65% 0.96% 0.71% 0.55%
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 19 18 15 15
Avg Max Decline   -0.01% -0.22% -0.02% -0.32% -0.07% -0.19% -0.10% -0.28% -0.20% -0.17% -0.11%
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 7 11 7 4
2025 Contract Condition           Yes Yes Yes   Yes    
Action           Yes Yes 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 16 18 20 24 32 34 35 35
Closed Lower   2 2 5 6 10 11 14 13 16 12 14
Penetrated Low   1 2 2 6 10 9 12 9 6 8 3
Scenario Percentage   50% 100% 40% 100% 100% 82% 86% 69% 38% 67% 21%
Avg Max Decline   0.94% 0.43% 0.35% 0.70% 0.76% 0.71% 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 15 14 17 15 10 18 14
Avg Max Increase   0.05% -0.12% -0.02% -0.13% -0.10% 0.07% -0.23% -0.20% -0.21% -0.23% -0.17%
Max Increase   0.05% -0.22% -0.04% -0.32% -0.38% -0.13% -0.81% -0.58% -0.50% -0.64% -0.33%
Avg Days to Max Increase   2 8 15 9 8 7 12 7 9 10 7
2025 Contract Condition         Yes       Yes   Yes  
Action         No       Yes      
High       103~072 103~072 103~191 103~290 104~307 104~156 104~016 104~020  
Low       103~072 102~246 102~253 103~140 103~166 103~142 103~124 103~164  
Close/Last       103~072 103~024 103~191 103~242 104~117 103~230 104~003 103~211  

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