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