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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 27, 2023
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 38 40 40 40 41 41 41 41
Closed Higher   12 17 21 20 23 22 28 20 17 21 20
Exceeded High   10 16 20 14 21 19 21 16 10 20 15
Scenario Percentage   83% 94% 95% 70% 91% 86% 75% 80% 59% 95% 75%
Avg Max Increase   3.74% 2.90% 2.52% 3.18% 2.53% 2.95% 2.75% 2.28% 2.96% 3.03% 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 15 13 17 11 12
Avg Max Decline   -0.55% -0.54% -0.32% -0.33% -0.55% -0.85% -0.94% -0.59% -0.71% -0.46% -0.20%
Max Decline   -2.13% -1.84% -1.22% -1.32% -2.12% -3.16% -4.07% -1.61% -2.32% -1.24% -0.64%
Avg Days to Max Decline   4 11 8 6 6 9 10 5 9 5 2
2023 Contract Condition           Yes   Yes   Yes Yes  
Action           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 Feb Feb Feb Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   20 22 29 38 40 40 40 41 41 41 41
Closed Lower   8 4 8 18 17 18 12 21 23 19 20
Penetrated Low   4 2 4 13 13 12 10 19 15 16 11
Scenario Percentage   50% 50% 50% 72% 76% 67% 83% 90% 65% 84% 55%
Avg Max Decline   1.56% 0.82% 2.76% 1.77% 1.89% 2.31% 2.23% 2.39% 2.87% 2.93% 1.77%
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 11
Avg Max Increase   -0.31% -0.10% -0.96% -0.19% -0.47% -0.94% -0.76% -0.45% -0.72% -0.47% -0.52%
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 6 11 5 2
2023 Contract Condition         Yes   Yes   Yes     Yes
Action         No   Yes   Yes     Yes
High       114~295 114~075 114~050 116~060 116~285 116~190 117~015 116~300 117~000
Low       110~245 109~215 110~035 112~160 112~275 111~045 110~125 113~305 112~035
Close/Last       112~275 111~020 114~010 112~285 115~025 111~210 114~295 115~065 113~200

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