MRCI's ScenarioSM Study

ScenarioSM Study for June 30-Year T-Bonds(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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		30	30	32	45	45	45	45	45	45	45	45
Closed Higher		16	19	18	21	31	22	26	22	19	22	22
Exceeded High		15	18	15	19	26	19	15	16	13	19	19
Scenario Percentage		94%	95%	83%	90%	84%	86%	58%	73%	68%	86%	86%
Avg Max Increase		4.21%	4.53%	3.97%	4.54%	4.32%	4.08%	4.37%	4.04%	4.16%	5.37%	3.12%
Max Increase		12.20%	15.55%	10.84%	12.87%	11.27%	13.95%	17.89%	12.59%	11.08%	13.58%	9.77%
Avg Days To Max Increase		13	18	18	14	15	17	14	17	15	12	13
Avg Max Decline		-0.50%	-1.02%	-1.08%	-0.76%	-1.23%	-1.55%	-0.85%	-1.63%	-0.96%	-0.84%	-0.44%
Max Decline		-3.24%	-3.05%	-3.17%	-2.94%	-5.97%	-5.50%	-2.42%	-3.85%	-3.13%	-2.41%	-1.47%
Avg Days to Max Decline		5	7	10	7	8	8	7	11	5	7	2
2022 Contract Condition					Yes	Yes
Action					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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		30	30	32	45	45	45	45	45	45	45	45
Closed Lower		14	11	14	24	14	22	19	23	26	23	23
Penetrated Low		10	10	7	15	10	16	15	20	16	18	13
Scenario Percentage		71%	91%	50%	63%	71%	73%	79%	87%	62%	78%	57%
Avg Max Decline		4.54%	5.05%	5.07%	3.37%	3.27%	5.06%	5.22%	3.79%	4.51%	4.49%	3.47%
Max Decline		10.76%	12.31%	10.61%	8.81%	6.95%	23.44%	15.50%	11.65%	11.51%	10.02%	5.92%
Avg Days To Max Decline		18	22	16	13	13	18	17	16	16	13	10
Avg Max Increase		-2.05%	-1.31%	-1.76%	-1.21%	-0.94%	-0.90%	-0.85%	-1.34%	-1.12%	-0.70%	-0.50%
Max Increase		-5.02%	-4.37%	-5.34%	-4.51%	-3.44%	-6.69%	-2.92%	-7.47%	-5.30%	-2.80%	-1.64%
Avg Days to Max Increase		10	9	9	12	7	7	9	7	11	5	2
2022 Contract Condition							Yes	Yes	Yes	Yes	Yes	Yes
Action							Yes	Yes	Yes	Yes	Yes	Yes
High				163~110	159~130	162~260	165~270	162~010	158~150	160~120	150~020	142~220
Low				157~180	155~300	157~260	160~300	154~260	151~290	146~100	138~140	134~300
Close/Last				157~220	159~090	162~160	162~140	157~140	156~220	150~020	140~220	140~140