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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 Nov 09, 2020
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 35 37 37 37 38 38 38 38
Closed Higher   12 17 21 20 20 22 27 20 16 19 18
Exceeded High   10 16 20 14 19 19 20 16 10 18 14
Scenario Percentage   83% 94% 95% 70% 95% 86% 74% 80% 63% 95% 78%
Avg Max Increase   3.74% 2.90% 2.52% 3.18% 2.63% 2.95% 2.80% 2.28% 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 14 13 17 11 11
Avg Max Decline   -0.55% -0.54% -0.32% -0.33% -0.50% -0.85% -0.79% -0.59% -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 5 9 5 2
2020 Contract Condition               Yes Yes Yes Yes Yes
Action               Yes Yes No Not Yet 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 35 37 37 37 38 38 38 38
Closed Lower   8 4 8 15 17 15 10 18 21 18 19
Penetrated Low   4 2 4 11 13 9 8 16 13 15 10
Scenario Percentage   50% 50% 50% 73% 76% 60% 80% 89% 62% 83% 53%
Avg Max Decline   1.56% 0.82% 2.76% 1.96% 1.89% 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 12 11 18 15 16 17 14 10
Avg Max Increase   -0.31% -0.10% -0.96% -0.10% -0.47% -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
2020 Contract Condition         Yes Yes Yes          
Action         Yes Yes No          
High       130~280 132~015 130~025 129~300 131~220 134~295 140~240 139~220 139~210
Low       129~045 129~055 128~115 127~250 127~310 130~025 133~210 137~160 138~085
Close/Last       130~140 130~115 129~085 128~060 131~170 134~240 138~220 139~020 139~120

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