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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 Aug 18, 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   19 22 28 37 41 41 41 41 41 41 41
Closed Higher   10 11 16 24 28 29 21 23 20 28 20
Exceeded High   10 10 12 21 25 25 18 21 18 19 16
Scenario Percentage   100% 91% 75% 88% 89% 86% 86% 91% 90% 68% 80%
Avg Max Increase   3.57% 2.63% 3.06% 2.78% 3.04% 2.57% 2.76% 2.57% 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 15 13 16 14 16 18 11 9
Avg Max Decline   -0.11% -0.22% -0.59% -0.24% -0.64% -0.58% -0.60% -0.71% -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 8 9 8 3
2023 Contract Condition         Yes       Yes   Yes  
Action         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 37 41 41 41 41 41 41 41
Closed Lower   9 11 11 13 13 12 20 18 20 13 21
Penetrated Low   7 8 6 8 10 9 14 14 12 10 18
Scenario Percentage   78% 73% 55% 62% 77% 75% 70% 78% 60% 77% 86%
Avg Max Decline   3.46% 2.58% 1.87% 2.04% 2.65% 2.32% 1.87% 2.01% 2.49% 1.87% 1.51%
Max Decline   6.91% 5.27% 6.46% 5.88% 8.03% 4.52% 5.11% 4.49% 4.53% 3.58% 3.19%
Avg Days To Max Decline   11 13 10 17 20 15 14 13 20 14 12
Avg Max Increase   -0.20% -0.59% -0.44% -0.74% -0.50% -0.86% -0.51% -0.61% -0.95% -0.85% -0.41%
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 11 5 7 3 11 10 4
2023 Contract Condition           Yes Yes Yes   Yes   Yes
Action           Yes Yes No   Yes   Yes
High       118~125 121~045 121~125 117~000 114~040 114~050 115~115 116~080 116~000
Low       115~205 117~135 116~135 110~275 109~055 109~220 111~280 112~125 110~210
Close/Last       118~125 121~045 117~000 112~120 110~280 113~160 112~095 114~165 111~055

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