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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 10-Year T-Notes(CBOT) as of Jan 01, 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 Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   20 22 29 33 35 35 35 36 36 36 36
Closed Higher   12 17 21 20 19 21 25 19 14 18 16
Exceeded High   10 16 20 14 18 18 18 15 9 18 13
Scenario Percentage   83% 94% 95% 70% 95% 86% 72% 79% 64% 100% 81%
Avg Max Increase   3.74% 2.90% 2.52% 3.18% 2.58% 3.05% 2.62% 2.14% 3.09% 3.19% 1.75%
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   15 13 19 15 17 19 14 13 16 11 11
Avg Max Decline   -0.55% -0.54% -0.32% -0.33% -0.53% -0.91% -0.75% -0.60% -0.64% -0.46% -0.20%
Max Decline   -2.13% -1.84% -1.22% -1.32% -2.12% -3.16% -2.88% -1.61% -2.32% -1.24% -0.64%
Avg Days to Max Decline   4 11 8 6 5 9 8 6 9 5 1
2018 Contract Condition                   Yes   Yes
Action                   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 Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   20 22 29 33 35 35 35 36 36 36 36
Closed Lower   8 4 8 13 16 14 10 17 21 17 19
Penetrated Low   4 2 4 10 12 9 8 15 13 15 10
Scenario Percentage   50% 50% 50% 77% 75% 64% 80% 88% 62% 88% 53%
Avg Max Decline   1.56% 0.82% 2.76% 1.96% 1.95% 2.07% 1.63% 2.35% 2.95% 2.89% 1.79%
Max Decline   2.47% 1.51% 4.16% 5.28% 4.97% 4.57% 2.62% 5.76% 8.91% 6.51% 3.48%
Avg Days To Max Decline   10 5 12 11 10 18 15 17 17 14 10
Avg Max Increase   -0.31% -0.10% -0.96% -0.13% -0.46% -0.88% -0.80% -0.43% -0.81% -0.40% -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 5 5 12 5 7 12 4 2
2018 Contract Condition         Yes Yes Yes Yes Yes   Yes  
Action         Yes Yes Yes Yes Yes   Yes  
High       125~200 125~075 124~295 124~110 123~220 122~020 121~090 121~120 121~125
Low       124~270 123~265 123~250 123~010 120~275 119~140 119~220 118~310 118~105
Close/Last       124~270 124~140 123~250 123~235 121~030 120~015 121~045 119~200 120~235

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