MRCI's ScenarioSM Study

ScenarioSM Study for December 2 Year T-Notes(CBOT) as of Jun 08, 2020
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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		7	8	8	12	13	13	20	26	30	30	30
Closed Higher		5	5	4	5	9	7	11	19	21	18	15
Exceeded High		4	4	2	5	6	7	10	18	20	13	12
Scenario Percentage		80%	80%	50%	100%	67%	100%	91%	95%	95%	72%	80%
Avg Max Increase		0.24%	0.34%	0.29%	0.61%	0.48%	0.45%	0.60%	0.77%	0.75%	0.82%	0.38%
Max Increase		0.48%	0.74%	0.46%	1.34%	0.65%	0.79%	1.86%	2.35%	2.62%	2.49%	0.90%
Avg Days To Max Increase		8	19	16	16	15	16	21	15	16	15	13
Avg Max Decline		-0.03%	0.04%	0.00%	-0.04%	-0.12%	-0.19%	-0.15%	-0.22%	-0.13%	-0.13%	-0.05%
Max Decline		-0.08%	-0.06%	0.00%	-0.11%	-0.45%	-0.69%	-0.55%	-0.73%	-0.60%	-0.81%	-0.23%
Avg Days to Max Decline		5	7	1	5	5	9	12	10	7	8	4
2019 Contract Condition						Yes	Yes		Yes		Yes
Action						Yes	Yes		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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		7	8	8	12	13	13	20	26	30	30	30
Closed Lower		2	3	4	7	4	6	9	6	9	12	15
Penetrated Low		2	3	3	6	3	4	4	4	7	10	11
Scenario Percentage		100%	100%	75%	86%	75%	67%	44%	67%	78%	83%	73%
Avg Max Decline		0.37%	0.39%	0.36%	0.58%	0.64%	0.19%	0.38%	0.26%	0.45%	0.56%	0.30%
Max Decline		0.60%	0.65%	0.60%	1.34%	1.06%	0.29%	0.48%	0.33%	1.07%	1.29%	0.60%
Avg Days To Max Decline		17	10	4	15	8	14	15	11	18	13	15
Avg Max Increase		-0.14%	-0.11%	0.00%	-0.09%	-0.21%	-0.00%	-0.09%	-0.06%	-0.12%	-0.07%	-0.12%
Max Increase		-0.28%	-0.30%	0.00%	-0.15%	-0.50%	-0.09%	-0.23%	-0.15%	-0.37%	-0.29%	-0.41%
Avg Days to Max Increase		6	9	1	9	8	11	7	10	11	3	4
2019 Contract Condition					Yes			Yes		Yes		Yes
Action					No			No		No		Yes
High				106~280	106~220	107~106	107~240	107~262	108~071	108~071	108~090	107~263
Low				106~244	106~122	106~161	107~106	107~074	107~114	107~123	107~167	107~134
Close/Last				106~244	106~220	107~106	107~207	107~127	108~017	107~240	107~255	107~185