MRCI's ScenarioSM Study

ScenarioSM Study for June 10-Year T-Notes(CBOT) as of Jan 01, 2016
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		19	21	28	30	32	32	32	33	33	33	33
Closed Higher		11	16	20	20	19	21	23	17	12	17	14
Exceeded High		9	15	19	14	18	18	16	14	7	17	12
Scenario Percentage		82%	94%	95%	70%	95%	86%	70%	82%	58%	100%	86%
Avg Max Increase		3.96%	2.95%	2.61%	3.18%	2.58%	3.05%	2.71%	2.17%	3.84%	3.29%	1.82%
Max Increase		9.06%	11.62%	7.59%	7.76%	5.65%	8.72%	11.48%	6.91%	9.31%	10.46%	3.23%
Avg Days To Max Increase		14	13	19	15	17	19	14	13	15	11	11
Avg Max Decline		-0.55%	-0.54%	-0.33%	-0.33%	-0.53%	-0.91%	-0.79%	-0.53%	-0.46%	-0.44%	-0.19%
Max Decline		-2.13%	-1.84%	-1.22%	-1.32%	-2.12%	-3.16%	-2.88%	-1.61%	-1.43%	-1.24%	-0.64%
Avg Days to Max Decline		4	11	8	6	5	9	8	5	4	5	1
2015 Contract Condition			Yes		Yes	Yes	Yes	Yes		Yes
Action			Yes		No	Yes	Yes	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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		19	21	28	30	32	32	32	33	33	33	33
Closed Lower		8	4	8	10	13	11	9	16	20	15	18
Penetrated Low		4	2	4	7	10	8	7	14	13	14	10
Scenario Percentage		50%	50%	50%	70%	77%	73%	78%	88%	65%	93%	56%
Avg Max Decline		1.56%	0.82%	2.76%	1.67%	1.92%	1.90%	1.67%	2.45%	2.95%	3.01%	1.79%
Max Decline		2.47%	1.51%	4.16%	2.56%	4.97%	4.57%	2.62%	5.76%	8.91%	6.51%	3.48%
Avg Days To Max Decline		10	5	12	9	8	19	15	16	17	14	10
Avg Max Increase		-0.31%	-0.10%	-0.96%	-0.10%	-0.50%	-0.99%	-0.80%	-0.38%	-0.81%	-0.41%	-0.50%
Max Increase		-1.04%	-0.20%	-2.92%	-1.61%	-1.41%	-3.63%	-1.59%	-1.27%	-3.49%	-1.78%	-1.80%
Avg Days to Max Increase		4	3	10	6	4	14	5	6	12	4	2
2015 Contract Condition		Yes		Yes					Yes		Yes	Yes
Action		No		No					Yes		Yes	Yes
High	124~240	123~210	124~310	124~240	127~280	126~015	126~205	130~200	130~190	129~125	130~040	128~145
Low	122~110	122~105	122~240	122~210	123~190	124~195	124~290	125~230	126~120	125~295	127~260	126~065
Close/Last	123~130	122~240	124~240	123~190	125~205	126~015	126~025	130~115	127~255	128~290	128~120	128~100