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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 Oct 20, 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 34 36 36 36 37 37 37 37
Closed Higher   12 17 21 20 20 22 26 19 15 18 17
Exceeded High   10 16 20 14 19 19 19 15 10 18 14
Scenario Percentage   83% 94% 95% 70% 95% 86% 73% 79% 67% 100% 82%
Avg Max Increase   3.74% 2.90% 2.52% 3.18% 2.63% 2.95% 2.58% 2.14% 2.96% 3.19% 1.68%
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 16 18 15 13 17 11 11
Avg Max Decline   -0.55% -0.54% -0.32% -0.33% -0.50% -0.85% -0.77% -0.60% -0.71% -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 9 6 9 5 2
2019 Contract Condition           Yes Yes Yes   Yes   Yes
Action           Yes Yes Yes   Yes   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 Feb Feb Feb Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   20 22 29 34 36 36 36 37 37 37 37
Closed Lower   8 4 8 14 16 14 10 18 21 18 19
Penetrated Low   4 2 4 10 12 9 8 16 13 15 10
Scenario Percentage   50% 50% 50% 71% 75% 64% 80% 89% 62% 83% 53%
Avg Max Decline   1.56% 0.82% 2.76% 1.96% 1.95% 2.07% 1.63% 2.23% 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 16 17 14 10
Avg Max Increase   -0.31% -0.10% -0.96% -0.13% -0.46% -0.88% -0.80% -0.40% -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
2019 Contract Condition         Yes       Yes   Yes  
Action         No       Yes   Not Yet  
High       118~175 118~260 119~145 122~080 123~175 122~255 124~310 124~055 126~160
Low       118~060 117~125 117~175 119~190 121~100 121~270 121~155 122~205 122~300
Close/Last       118~175 118~060 119~145 122~050 122~245 122~000 124~070 123~215 126~120

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