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