MRCI's ScenarioSM Study

ScenarioSM Study for September 10-Year T-Notes(CBOT) as of Jan 01, 2018
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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		17	20	27	30	34	34	35	35	36	36	36
Closed Higher		10	14	15	21	17	11	17	16	21	23	26
Exceeded High		7	11	13	16	16	7	16	15	16	21	19
Scenario Percentage		70%	79%	87%	76%	94%	64%	94%	94%	76%	91%	73%
Avg Max Increase		2.97%	2.91%	3.14%	2.29%	1.52%	3.73%	3.70%	2.97%	3.54%	3.03%	1.62%
Max Increase		7.63%	5.70%	8.99%	11.72%	6.75%	9.14%	10.78%	6.35%	7.98%	9.50%	3.28%
Avg Days To Max Increase		16	19	15	11	15	19	15	19	17	11	10
Avg Max Decline		-0.14%	-0.54%	-0.79%	-0.51%	-0.94%	-0.46%	-0.47%	-0.38%	-0.71%	-0.62%	-0.45%
Max Decline		-0.84%	-2.18%	-3.19%	-2.77%	-2.71%	-1.37%	-1.32%	-1.03%	-2.41%	-2.24%	-1.37%
Avg Days to Max Decline		2	5	10	7	9	4	6	7	10	5	2
2017 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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		17	20	27	30	34	34	35	35	36	36	36
Closed Lower		7	6	12	9	17	22	17	19	15	13	10
Penetrated Low		4	3	8	9	14	16	14	11	8	8	4
Scenario Percentage		57%	50%	67%	100%	82%	73%	82%	58%	53%	62%	40%
Avg Max Decline		1.67%	1.53%	1.99%	1.82%	2.43%	2.71%	3.14%	2.49%	2.50%	2.17%	1.69%
Max Decline		2.29%	2.87%	4.22%	4.63%	5.93%	9.11%	6.90%	4.91%	6.67%	5.63%	3.68%
Avg Days To Max Decline		15	3	20	13	17	18	16	15	9	9	8
Avg Max Increase		-0.04%	-0.57%	-1.11%	-0.51%	-0.34%	-0.81%	-0.39%	-0.68%	-0.61%	-0.48%	-0.29%
Max Increase		-1.44%	-0.88%	-3.52%	-1.37%	-1.18%	-3.65%	-1.64%	-1.83%	-1.58%	-1.10%	-0.46%
Avg Days to Max Increase		7	6	18	7	8	12	9	4	9	5	3
2017 Contract Condition					Yes		Yes			Yes
Action					Yes		No			Yes
High				123~200	124~275	124~235	124~120	126~100	126~130	127~080	126~120	127~190
Low				122~180	123~010	123~010	122~020	124~010	124~120	125~145	124~255	125~215
Close/Last				123~200	123~175	124~070	124~015	125~125	126~095	125~170	125~285	127~080