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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 May 10, 2021
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 33 37 37 38 38 39 39 39
Closed Higher   10 14 15 23 18 14 18 19 23 24 28
Exceeded High   7 11 13 18 17 9 16 17 18 22 20
Scenario Percentage   70% 79% 87% 78% 94% 64% 89% 89% 78% 92% 71%
Avg Max Increase   2.97% 2.91% 3.14% 2.52% 1.67% 3.14% 3.70% 2.75% 3.35% 2.90% 1.57%
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 12 16 18 15 19 17 12 11
Avg Max Decline   -0.14% -0.54% -0.79% -0.55% -0.91% -0.51% -0.47% -0.45% -0.71% -0.60% -0.46%
Max Decline   -0.84% -2.18% -3.19% -2.77% -2.71% -1.37% -1.32% -1.71% -2.41% -2.24% -1.37%
Avg Days to Max Decline   2 5 10 8 10 5 6 7 10 5 3
2020 Contract Condition         Yes Yes Yes Yes Yes Yes Yes  
Action         Yes Yes No No 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 33 37 37 38 38 39 39 39
Closed Lower   7 6 12 10 19 22 19 19 16 15 11
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% 36%
Avg Max Decline   1.67% 1.53% 1.99% 1.77% 2.20% 2.71% 3.01% 2.49% 2.50% 1.99% 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
2020 Contract Condition                       Yes
Action                       Not Yet
High       128~110 131~035 134~105 139~250 139~160 139~135 139~140 140~060 140~130
Low       127~170 127~315 129~310 133~225 137~135 137~305 136~220 138~235 138~230
Close/Last       127~245 131~035 134~105 138~100 138~270 139~020 139~055 140~025 139~130

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