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