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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 Dec 27, 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 36 40 40 41 41 42 42 42
Closed Higher   10 14 15 24 18 15 20 21 24 26 28
Exceeded High   7 11 13 19 17 10 18 19 19 24 20
Scenario Percentage   70% 79% 87% 79% 94% 67% 90% 90% 79% 92% 71%
Avg Max Increase   2.97% 2.91% 3.14% 2.48% 1.67% 3.02% 3.46% 2.68% 3.29% 2.72% 1.56%
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 13 16 17 14 20 16 10 10
Avg Max Decline   -0.14% -0.54% -0.79% -0.74% -0.91% -0.54% -0.47% -0.65% -0.68% -0.59% -0.44%
Max Decline   -0.84% -2.18% -3.19% -4.24% -2.71% -1.37% -1.32% -4.37% -2.41% -2.24% -1.37%
Avg Days to Max Decline   2 5 10 9 10 7 6 8 10 5 2
2023 Contract Condition         Yes   Yes Yes        
Action         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 36 40 40 41 41 42 42 42
Closed Lower   7 6 12 12 22 24 20 20 18 16 14
Penetrated Low   4 3 8 12 19 17 16 12 9 10 7
Scenario Percentage   57% 50% 67% 100% 86% 71% 80% 60% 50% 63% 50%
Avg Max Decline   1.67% 1.53% 1.99% 2.32% 2.40% 2.84% 3.06% 2.60% 2.56% 2.03% 1.60%
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 17 17 16 14 10 11 12
Avg Max Increase   -0.04% -0.57% -1.11% -0.46% -0.39% -0.74% -0.46% -0.67% -0.64% -0.54% -0.26%
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 8 11 10 4 10 7 3
2023 Contract Condition           Yes     Yes Yes Yes Yes
Action           Yes     Yes Yes Yes Yes
High       114~280 117~000 116~310 117~250 117~210 117~260 115~000 113~080 111~290
Low       113~130 113~110 111~210 110~275 114~220 112~295 111~255 110~050 108~280
Close/Last       113~175 115~245 112~030 115~195 116~005 114~150 112~085 111~130 110~180

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