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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 2 Year T-Notes(CBOT) as of May 10, 2021
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 13 14 14 21 27 31 31 31
Closed Higher   5 5 4 6 10 7 12 19 22 18 15
Exceeded High   4 4 2 6 7 7 11 18 20 13 12
Scenario Percentage   80% 80% 50% 100% 70% 100% 92% 95% 91% 72% 80%
Avg Max Increase   0.24% 0.34% 0.29% 0.53% 0.42% 0.45% 0.55% 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 14 17 16 20 15 16 15 13
Avg Max Decline   -0.03% 0.04% 0.00% -0.04% -0.13% -0.19% -0.14% -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 6 9 11 10 7 8 4
2020 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 13 14 14 21 27 31 31 31
Closed Lower   2 3 4 7 4 7 9 7 9 13 15
Penetrated Low   2 3 3 6 3 4 4 4 7 11 11
Scenario Percentage   100% 100% 75% 86% 75% 57% 44% 57% 78% 85% 73%
Avg Max Decline   0.37% 0.39% 0.36% 0.58% 0.64% 0.19% 0.38% 0.26% 0.45% 0.51% 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% -0.06% -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
2020 Contract Condition             Yes   Yes   Yes  
Action             No   No   Yes  
High       110~085 110~116 110~146 110~132 110~166 110~177 110~156 110~155 110~141
Low       110~066 110~055 110~094 110~077 110~097 110~125 110~134 110~126 110~105
Close/Last       110~083 110~110 110~134 110~132 110~166 110~151 110~153 110~134 110~134

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