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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 Jun 23, 2023
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 35 39 39 40 40 41 41 41
Closed Higher   10 14 15 23 18 14 19 21 24 26 28
Exceeded High   7 11 13 18 17 9 17 19 19 24 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% 2.68% 3.29% 2.73% 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 20 16 11 11
Avg Max Decline   -0.14% -0.54% -0.79% -0.55% -0.91% -0.51% -0.45% -0.65% -0.68% -0.59% -0.46%
Max Decline   -0.84% -2.18% -3.19% -2.77% -2.71% -1.37% -1.32% -4.37% -2.41% -2.24% -1.37%
Avg Days to Max Decline   2 5 10 8 10 5 6 8 10 5 3
2022 Contract Condition                 Yes   Yes  
Action                 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 35 39 39 40 40 41 41 41
Closed Lower   7 6 12 12 21 24 20 19 17 15 13
Penetrated Low   4 3 8 12 18 17 16 11 8 9 6
Scenario Percentage   57% 50% 67% 100% 86% 71% 80% 58% 47% 60% 46%
Avg Max Decline   1.67% 1.53% 1.99% 2.32% 2.47% 2.84% 3.06% 2.49% 2.50% 1.99% 1.68%
Max Decline   2.29% 2.87% 4.22% 5.66% 7.34% 9.11% 6.90% 4.91% 6.67% 5.63% 3.68%
Avg Days To Max Decline   15 3 20 16 18 17 16 15 9 10 11
Avg Max Increase   -0.04% -0.57% -1.11% -0.46% -0.41% -0.74% -0.46% -0.68% -0.61% -0.55% -0.24%
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 8 9 11 10 4 9 7 4
2022 Contract Condition         Yes Yes Yes Yes   Yes   Yes
Action         Yes Yes Yes Yes   No   Yes
High       130~315 129~100 128~010 128~165 122~105 120~195 119~165 121~125 122~020
Low       130~010 127~060 125~110 120~205 117~245 116~210 114~075 117~145 116~120
Close/Last       130~115 127~280 127~030 122~230 118~235 119~145 118~170 121~045 116~280

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