MRCI's ScenarioSM Study

ScenarioSM Study for June 10-Year T-Notes(CBOT) as of May 22, 2024
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%	3.02%	1.63%
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%	-0.55%	-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
2024 Contract Condition						Yes	Yes			Yes		Yes
Action						Yes	No			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	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
2024 Contract Condition					Yes			Yes	Yes		Yes
Action					No			Yes	Yes		Not Yet
High				110~070	108~255	110~310	113~315	113~160	113~290	112~045	110~290	109~315
Low				108~000	106~075	107~215	110~215	111~135	109~255	109~245	107~040	107~125
Close/Last				108~310	106~305	110~115	113~200	112~310	110~140	110~255	107~140	109~010