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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 Jan 21, 2022
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 34 38 38 39 39 40 40 40
Closed Higher   10 14 15 23 18 14 19 20 24 25 28
Exceeded High   7 11 13 18 17 9 17 18 19 23 20
Scenario Percentage   70% 79% 87% 78% 94% 64% 89% 90% 79% 92% 71%
Avg Max Increase   2.97% 2.91% 3.14% 2.52% 1.67% 3.14% 3.58% 2.73% 3.29% 2.81% 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 16 12 11
Avg Max Decline   -0.14% -0.54% -0.79% -0.55% -0.91% -0.51% -0.45% -0.44% -0.68% -0.57% -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
2021 Contract Condition               Yes Yes Yes Yes  
Action               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 34 38 38 39 39 40 40 40
Closed Lower   7 6 12 11 20 23 19 19 16 15 12
Penetrated Low   4 3 8 11 17 16 15 11 8 9 5
Scenario Percentage   57% 50% 67% 100% 85% 70% 79% 58% 50% 60% 42%
Avg Max Decline   1.67% 1.53% 1.99% 2.02% 2.19% 2.71% 3.01% 2.49% 2.50% 1.99% 1.47%
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 15 18 18 16 15 9 10 10
Avg Max Increase   -0.04% -0.57% -1.11% -0.45% -0.37% -0.81% -0.38% -0.68% -0.61% -0.55% -0.30%
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 6 9 12 9 4 9 7 3
2021 Contract Condition         Yes Yes Yes         Yes
Action         Yes Yes No         Yes
High       137~075 137~065 136~055 133~115 131~300 132~215 133~065 135~070 135~140
Low       136~315 135~115 132~125 129~250 129~305 130~315 131~140 132~060 133~095
Close/Last       137~060 136~005 132~170 130~010 131~060 131~300 132~160 134~145 134~015

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