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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 Sep 16, 2022
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 14 15 15 22 28 32 32 32
Closed Higher   5 5 4 6 11 7 13 19 22 18 16
Exceeded High   4 4 2 6 8 7 11 18 20 13 12
Scenario Percentage   80% 80% 50% 100% 73% 100% 85% 95% 91% 72% 75%
Avg Max Increase   0.24% 0.34% 0.29% 0.53% 0.37% 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 16 16 20 15 16 15 13
Avg Max Decline   -0.03% 0.04% 0.00% -0.04% -0.12% -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 5 9 11 10 7 8 4
2021 Contract Condition           Yes   Yes       Yes
Action           Yes   No       Not Yet
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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 14 15 15 22 28 32 32 32
Closed Lower   2 3 4 8 4 8 9 8 10 14 15
Penetrated Low   2 3 3 7 3 5 4 5 8 11 11
Scenario Percentage   100% 100% 75% 88% 75% 63% 44% 63% 80% 79% 73%
Avg Max Decline   0.37% 0.39% 0.36% 0.53% 0.64% 0.18% 0.38% 0.37% 0.48% 0.51% 0.30%
Max Decline   0.60% 0.65% 0.60% 1.34% 1.06% 0.29% 0.48% 0.81% 1.07% 1.29% 0.60%
Avg Days To Max Decline   17 10 4 16 8 14 15 12 18 13 15
Avg Max Increase   -0.14% -0.11% 0.00% -0.09% -0.21% -0.03% -0.09% -0.05% -0.12% -0.06% -0.12%
Max Increase   -0.28% -0.30% 0.00% -0.15% -0.50% -0.13% -0.23% -0.15% -0.37% -0.29% -0.41%
Avg Days to Max Increase   6 9 1 13 8 10 7 9 10 3 4
2021 Contract Condition         Yes   Yes   Yes Yes Yes  
Action         Yes   Yes   Yes Yes No  
High       110~133 110~113 110~116 110~120 110~085 110~076 110~062 110~030 109~275
Low       110~114 110~084 110~091 110~023 110~000 110~007 109~306 109~085 109~144
Close/Last       110~114 110~087 110~116 110~040 110~061 110~052 110~007 109~200 109~224

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