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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 06, 2024
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 37 41 41 42 42 43 43 43
Closed Higher   10 14 15 24 18 16 20 22 25 27 29
Exceeded High   7 11 13 19 17 10 18 20 20 25 21
Scenario Percentage   70% 79% 87% 79% 94% 63% 90% 91% 80% 93% 72%
Avg Max Increase   2.97% 2.91% 3.14% 2.48% 1.67% 3.02% 3.46% 2.70% 3.36% 2.72% 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 13 16 17 14 20 16 11 10
Avg Max Decline   -0.14% -0.54% -0.79% -0.74% -0.91% -0.54% -0.47% -0.62% -0.69% -0.55% -0.42%
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 9 5 2
2024 Contract Condition             Yes   Yes Yes Yes Yes
Action             No   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 37 41 41 42 42 43 43 43
Closed Lower   7 6 12 13 23 24 21 20 18 16 14
Penetrated Low   4 3 8 13 20 17 16 12 9 10 6
Scenario Percentage   57% 50% 67% 100% 87% 71% 76% 60% 50% 63% 43%
Avg Max Decline   1.67% 1.53% 1.99% 2.37% 2.44% 2.84% 3.06% 2.60% 2.56% 2.00% 1.58%
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 11
Avg Max Increase   -0.04% -0.57% -1.11% -0.46% -0.46% -0.74% -0.46% -0.67% -0.64% -0.54% -0.24%
Max Increase   -1.44% -0.88% -3.52% -1.37% -1.72% -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 4
2024 Contract Condition         Yes Yes   Yes        
Action         Yes Yes   No        
High       114~145 113~315 114~055 112~250 111~090 110~090 111~010 112~105 115~035
Low       113~230 112~045 110~140 110~085 107~125 107~210 108~275 109~025 112~015
Close/Last       114~045 113~180 110~310 111~055 107~215 108~255 109~315 111~260 113~015

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