MRCI's ScenarioSM Study

ScenarioSM Study for March 10-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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		19	22	28	35	39	39	39	39	39	39	39
Closed Higher		10	11	16	22	28	29	21	21	20	27	20
Exceeded High		10	10	12	19	25	25	18	19	18	19	16
Scenario Percentage		100%	91%	75%	86%	89%	86%	86%	90%	90%	70%	80%
Avg Max Increase		3.57%	2.63%	3.06%	3.04%	3.04%	2.57%	2.76%	2.68%	2.89%	2.63%	1.56%
Max Increase		9.87%	5.99%	5.18%	9.68%	12.83%	7.97%	7.51%	6.39%	8.15%	9.27%	4.37%
Avg Days To Max Increase		14	21	21	16	13	16	14	16	18	11	9
Avg Max Decline		-0.11%	-0.22%	-0.59%	-0.30%	-0.64%	-0.58%	-0.60%	-0.68%	-1.01%	-0.79%	-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	10	9	8	7	9	8	3
2021 Contract Condition					Yes		Yes		Yes
Action					Yes		No		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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		19	22	28	35	39	39	39	39	39	39	39
Closed Lower		9	11	11	13	11	10	18	18	18	12	19
Penetrated Low		7	8	6	8	8	7	13	14	10	9	16
Scenario Percentage		78%	73%	55%	62%	73%	70%	72%	78%	56%	75%	84%
Avg Max Decline		3.46%	2.58%	1.87%	2.04%	2.10%	2.34%	1.94%	2.01%	2.46%	1.68%	1.43%
Max Decline		6.91%	5.27%	6.46%	5.88%	8.03%	4.52%	5.11%	4.49%	4.53%	3.53%	2.52%
Avg Days To Max Decline		11	13	10	17	20	13	13	13	21	13	12
Avg Max Increase		-0.20%	-0.59%	-0.44%	-0.74%	-0.62%	-0.82%	-0.48%	-0.61%	-0.79%	-0.85%	-0.39%
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	14	6	7	3	12	7	4
2021 Contract Condition						Yes		Yes		Yes	Yes	Yes
Action						Yes		Yes		Yes	Yes	Yes
High				139~100	140~005	140~085	139~315	139~150	138~300	138~080	138~055	137~095
Low				138~135	138~295	138~265	139~010	137~230	136~265	137~075	136~010	133~025
Close/Last				139~050	140~005	139~080	139~085	137~265	138~055	138~025	137~010	133~255