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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March 10-Year T-Notes(CBOT) as of Oct 20, 2019
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 Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   19 22 28 33 37 37 37 37 37 37 37
Closed Higher   10 11 16 21 27 28 21 20 20 26 19
Exceeded High   10 10 12 18 24 25 18 19 18 18 15
Scenario Percentage   100% 91% 75% 86% 89% 89% 86% 95% 90% 69% 79%
Avg Max Increase   3.57% 2.63% 3.06% 3.20% 3.15% 2.57% 2.76% 2.68% 2.89% 2.39% 1.36%
Max Increase   9.87% 5.99% 5.18% 9.68% 12.83% 7.97% 7.51% 6.39% 8.15% 9.27% 3.99%
Avg Days To Max Increase   14 21 21 17 14 16 14 16 18 11 9
Avg Max Decline   -0.11% -0.22% -0.59% -0.31% -0.67% -0.58% -0.60% -0.68% -1.01% -0.77% -0.26%
Max Decline   -0.40% -0.99% -2.04% -2.11% -2.14% -1.38% -2.27% -2.19% -3.13% -2.57% -1.34%
Avg Days to Max Decline   3 10 11 4 11 9 8 7 9 8 3
2019 Contract Condition           Yes     Yes Yes Yes  
Action           No     Yes Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   19 22 28 33 37 37 37 37 37 37 37
Closed Lower   9 11 11 12 10 9 16 17 16 11 18
Penetrated Low   7 8 6 8 7 6 11 13 9 8 15
Scenario Percentage   78% 73% 55% 67% 70% 67% 69% 76% 56% 73% 83%
Avg Max Decline   3.46% 2.58% 1.87% 2.04% 2.24% 2.41% 2.06% 2.08% 2.33% 1.45% 1.41%
Max Decline   6.91% 5.27% 6.46% 5.88% 8.03% 4.52% 5.11% 4.49% 4.53% 2.13% 2.52%
Avg Days To Max Decline   11 13 10 17 19 14 13 13 21 12 11
Avg Max Increase   -0.20% -0.59% -0.44% -0.74% -0.64% -0.74% -0.48% -0.61% -0.87% -0.93% -0.36%
Max Increase   -0.68% -1.40% -1.45% -2.04% -1.66% -2.89% -1.64% -1.35% -3.95% -1.72% -1.29%
Avg Days to Max Increase   14 6 9 8 12 6 8 3 13 8 4
2019 Contract Condition         Yes   Yes Yes       Yes
Action         Yes   Yes No       Yes
High       119~315 119~315 120~170 119~305 118~310 119~215 122~040 123~080 122~170
Low       119~135 118~295 118~235 118~040 117~055 117~150 119~045 121~020 121~190
Close/Last       119~250 119~000 120~015 118~175 118~060 119~145 122~005 122~150 121~240

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