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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 Dec 07, 2022
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 37 39 39 39 40 40 40 40
Closed Higher   12 17 21 20 22 22 27 20 16 20 20
Exceeded High   10 16 20 14 20 19 20 16 10 19 15
Scenario Percentage   83% 94% 95% 70% 91% 86% 74% 80% 63% 95% 75%
Avg Max Increase   3.74% 2.90% 2.52% 3.18% 2.53% 2.95% 2.80% 2.28% 2.96% 3.11% 1.64%
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 12
Avg Max Decline   -0.55% -0.54% -0.32% -0.33% -0.51% -0.85% -0.79% -0.59% -0.71% -0.45% -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
2022 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 37 39 39 39 40 40 40 40
Closed Lower   8 4 8 17 17 17 12 20 23 19 19
Penetrated Low   4 2 4 13 13 11 10 18 15 16 10
Scenario Percentage   50% 50% 50% 76% 76% 65% 83% 90% 65% 84% 53%
Avg Max Decline   1.56% 0.82% 2.76% 1.77% 1.89% 2.38% 2.23% 2.46% 2.87% 2.93% 1.79%
Max Decline   2.47% 1.51% 4.16% 5.28% 4.97% 4.57% 5.41% 7.21% 8.91% 6.51% 3.48%
Avg Days To Max Decline   10 5 12 13 11 18 18 15 15 14 10
Avg Max Increase   -0.31% -0.10% -0.96% -0.19% -0.47% -0.71% -0.76% -0.47% -0.72% -0.47% -0.50%
Max Increase   -1.04% -0.20% -2.92% -1.61% -1.41% -3.63% -1.59% -1.32% -3.49% -1.78% -1.80%
Avg Days to Max Increase   4 3 10 5 5 11 8 7 11 5 2
2022 Contract Condition         Yes   Yes Yes Yes Yes Yes  
Action         Yes   Yes Yes Yes Yes Yes  
High       132~160 131~050 130~300 131~130 130~035 128~085 129~040 122~215 120~310
Low       130~145 129~015 128~190 129~160 126~285 125~145 120~305 118~080 117~085
Close/Last       130~190 129~180 130~140 130~115 127~280 127~140 122~280 119~050 119~270

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