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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 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 Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   16 20 27 35 37 39 39 39 39 39 39
Closed Higher   12 8 9 17 18 24 25 28 28 21 21
Exceeded High   9 7 5 15 16 19 23 25 24 17 16
Scenario Percentage   75% 88% 56% 88% 89% 79% 92% 89% 86% 81% 76%
Avg Max Increase   2.79% 1.82% 4.50% 3.45% 2.70% 3.36% 3.29% 3.11% 2.65% 2.56% 1.67%
Max Increase   12.00% 6.46% 8.72% 10.35% 6.31% 8.15% 10.09% 13.27% 8.27% 6.50% 6.43%
Avg Days To Max Increase   10 15 22 15 19 18 16 13 16 7 10
Avg Max Decline   -0.73% -0.70% -0.30% -0.41% -0.32% -0.63% -0.57% -0.71% -0.63% -0.59% -0.38%
Max Decline   -2.70% -2.30% -0.93% -1.27% -1.42% -2.26% -2.27% -2.14% -1.40% -1.32% -1.15%
Avg Days to Max Decline   8 9 6 8 8 11 5 8 9 6 2
2020 Contract Condition         Yes Yes Yes Yes   Yes   Yes
Action         Yes Yes Yes Yes   No   Not Yet
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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 Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   16 20 27 35 37 39 39 39 39 39 39
Closed Lower   4 12 18 18 19 15 14 11 11 18 18
Penetrated Low   4 9 13 14 11 8 9 7 8 11 11
Scenario Percentage   100% 75% 72% 78% 58% 53% 64% 64% 73% 61% 61%
Avg Max Decline   1.35% 2.63% 2.88% 3.32% 2.59% 2.66% 2.06% 2.18% 2.16% 1.77% 1.68%
Max Decline   2.51% 6.28% 9.03% 6.70% 5.16% 7.37% 5.91% 8.15% 4.65% 4.91% 4.24%
Avg Days To Max Decline   12 17 15 16 14 11 14 19 14 10 12
Avg Max Increase   -0.60% -0.22% -0.49% -0.05% -0.41% -0.56% -0.81% -0.70% -0.82% -0.47% -0.47%
Max Increase   -1.37% -1.12% -1.35% -0.67% -1.39% -1.60% -2.86% -1.65% -3.00% -1.50% -1.13%
Avg Days to Max Increase   6 8 11 9 6 9 8 11 5 6 4
2020 Contract Condition                 Yes   Yes  
Action                 Yes   Yes  
High       138~145 139~065 139~055 139~100 140~035 140~110 139~290 139~250 139~085
Low       133~225 137~210 138~090 137~025 138~220 138~185 139~000 138~035 137~080
Close/Last       138~100 138~270 139~015 139~050 140~005 139~080 139~170 138~070 138~170

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