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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 Sep 30, 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 Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   16 20 27 38 40 42 42 42 42 42 42
Closed Higher   12 8 9 18 20 25 27 28 28 21 24
Exceeded High   9 7 5 16 18 20 25 25 24 17 19
Scenario Percentage   75% 88% 56% 89% 90% 80% 93% 89% 86% 81% 79%
Avg Max Increase   2.79% 1.82% 4.50% 3.33% 2.64% 3.30% 3.09% 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 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% -0.34%
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
2024 Contract Condition           Yes Yes Yes Yes Yes    
Action           Yes Yes Yes Yes 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 38 40 42 42 42 42 42 42
Closed Lower   4 12 18 20 20 17 15 14 14 21 18
Penetrated Low   4 9 13 16 12 9 10 10 11 12 11
Scenario Percentage   100% 75% 72% 80% 60% 53% 67% 71% 79% 57% 61%
Avg Max Decline   1.35% 2.63% 2.88% 3.35% 2.66% 2.71% 2.28% 2.99% 2.21% 1.70% 1.65%
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 12 16 20 16 11 12
Avg Max Increase   -0.60% -0.22% -0.49% -0.22% -0.40% -0.62% -0.77% -0.55% -0.83% -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 9 5 10 8 9 6 6 4
2024 Contract Condition         Yes              
Action         Yes              
High       111~235 110~300 110~150 111~140 112~255 115~190 115~235    
Low       111~015 108~020 108~000 109~160 109~150 112~175 113~120    
Close/Last       111~200 108~040 109~075 110~125 112~085 113~180 114~090    

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