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