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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 10-Year T-Notes(CBOT) as of Mar 30, 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 Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   17 20 27 32 36 36 37 37 38 38 38
Closed Higher   10 14 15 22 17 13 17 18 22 23 28
Exceeded High   7 11 13 17 16 9 16 16 17 21 20
Scenario Percentage   70% 79% 87% 77% 94% 69% 94% 89% 77% 91% 71%
Avg Max Increase   2.97% 2.91% 3.14% 2.28% 1.52% 3.14% 3.70% 2.87% 3.50% 3.01% 1.55%
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 18 15 18 18 11 10
Avg Max Decline   -0.14% -0.54% -0.79% -0.53% -0.94% -0.51% -0.47% -0.37% -0.73% -0.62% -0.44%
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 8 9 5 6 7 11 5 2
2019 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 32 36 36 37 37 38 38 38
Closed Lower   7 6 12 10 19 22 19 19 16 15 10
Penetrated Low   4 3 8 10 16 16 15 11 8 9 4
Scenario Percentage   57% 50% 67% 100% 84% 73% 79% 58% 50% 60% 40%
Avg Max Decline   1.67% 1.53% 1.99% 1.77% 2.20% 2.71% 3.01% 2.49% 2.50% 1.97% 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 10 8
Avg Max Increase   -0.04% -0.57% -1.11% -0.49% -0.36% -0.81% -0.38% -0.68% -0.61% -0.55% -0.29%
Max Increase   -1.44% -0.88% -3.52% -1.37% -1.28% -3.65% -1.64% -1.83% -1.58% -1.11% -0.46%
Avg Days to Max Increase   7 6 18 7 9 12 9 4 9 7 3
2019 Contract Condition           Yes   Yes     Yes  
Action           Yes   No     Not Yet  
High       122~120 123~205 122~190 125~055 124~050 126~280 128~085 128~140 131~195
Low       120~265 121~105 121~285 121~180 122~265 123~045 126~155 126~230 127~045
Close/Last       122~120 122~220 121~295 124~140 123~285 126~240 127~310 127~135 131~015

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