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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 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 Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   16 20 27 37 39 41 41 41 41 41 41
Closed Higher   12 8 9 18 20 25 27 28 28 21 23
Exceeded High   9 7 5 16 18 20 25 25 24 17 18
Scenario Percentage   75% 88% 56% 89% 90% 80% 93% 89% 86% 81% 78%
Avg Max Increase   2.79% 1.82% 4.50% 3.33% 2.64% 3.30% 3.09% 3.11% 2.65% 2.56% 1.60%
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 20 17 15 13 16 7 10
Avg Max Decline   -0.73% -0.70% -0.30% -0.41% -0.55% -0.61% -0.56% -0.71% -0.63% -0.59% -0.35%
Max Decline   -2.70% -2.30% -0.93% -1.27% -4.32% -2.26% -2.27% -2.14% -1.40% -1.32% -1.15%
Avg Days to Max Decline   8 9 6 8 8 10 5 8 9 6 2
2022 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 Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   16 20 27 37 39 41 41 41 41 41 41
Closed Lower   4 12 18 19 19 16 14 13 13 20 18
Penetrated Low   4 9 13 15 11 8 9 9 10 12 11
Scenario Percentage   100% 75% 72% 79% 58% 50% 64% 69% 77% 60% 61%
Avg Max Decline   1.35% 2.63% 2.88% 3.35% 2.59% 2.66% 2.06% 2.75% 2.17% 1.70% 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 15 14 11 14 20 15 11 12
Avg Max Increase   -0.60% -0.22% -0.49% -0.15% -0.41% -0.56% -0.81% -0.57% -0.87% -0.51% -0.47%
Max Increase   -1.37% -1.12% -1.35% -1.51% -1.39% -1.60% -2.86% -1.65% -3.00% -1.50% -1.13%
Avg Days to Max Increase   6 8 11 10 6 9 8 9 5 6 4
2022 Contract Condition         Yes   Yes   Yes Yes Yes  
Action         Yes   No   Yes Yes Not Yet  
High       124~205 122~025 120~170 119~140 121~125 122~025 116~275 113~300 113~260
Low       121~105 118~075 116~250 114~060 117~110 116~125 110~190 108~265 109~105
Close/Last       122~230 118~235 119~110 118~125 121~045 116~290 112~020 110~190 113~070

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