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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 Jun 23, 2023
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 15 16 16 23 29 33 33 33
Closed Higher   5 5 4 6 12 7 14 19 22 18 17
Exceeded High   4 4 2 6 8 7 11 18 20 13 13
Scenario Percentage   80% 80% 50% 100% 67% 100% 79% 95% 91% 72% 76%
Avg Max Increase   0.24% 0.34% 0.29% 0.53% 0.37% 0.45% 0.55% 0.77% 0.75% 0.82% 0.40%
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 3
2022 Contract Condition           Yes   Yes       Yes
Action           No   No       Yes
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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 15 16 16 23 29 33 33 33
Closed Lower   2 3 4 9 4 9 9 9 11 15 15
Penetrated Low   2 3 3 8 3 5 4 6 9 12 11
Scenario Percentage   100% 100% 75% 89% 75% 56% 44% 67% 82% 80% 73%
Avg Max Decline   0.37% 0.39% 0.36% 0.60% 0.64% 0.18% 0.38% 0.68% 0.55% 0.52% 0.30%
Max Decline   0.60% 0.65% 0.60% 1.34% 1.06% 0.29% 0.48% 2.19% 1.09% 1.29% 0.60%
Avg Days To Max Decline   17 10 4 15 8 14 15 13 16 12 15
Avg Max Increase   -0.14% -0.11% 0.00% -0.16% -0.21% -0.03% -0.09% -0.07% -0.15% -0.07% -0.12%
Max Increase   -0.28% -0.30% 0.00% -0.63% -0.50% -0.13% -0.23% -0.18% -0.43% -0.29% -0.41%
Avg Days to Max Increase   6 9 1 14 8 10 7 8 10 3 4
2022 Contract Condition         Yes   Yes   Yes Yes Yes  
Action         Yes   No   Yes Yes Yes  
High       106~002 105~176 105~216 105~116 105~131 105~111 104~113 103~044 102~172
Low       105~181 104~282 104~277 103~257 104~153 104~020 102~112 101~283 101~183
Close/Last       105~243 105~004 105~181 104~312 105~080 104~052 102~222 102~061 102~117

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