MRCI's ScenarioSM Study

ScenarioSM Study for December 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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		32	32	32	45	45	45	45	45	45	45	45
Closed Higher		17	15	12	21	21	29	27	28	22	21	32
Exceeded High		11	10	8	19	21	22	24	23	18	17	21
Scenario Percentage		65%	67%	67%	90%	100%	76%	89%	82%	82%	81%	66%
Avg Max Increase		3.22%	3.85%	7.11%	5.49%	4.01%	4.76%	4.88%	4.77%	3.95%	4.46%	2.87%
Max Increase		6.77%	11.95%	21.24%	13.90%	8.88%	12.26%	16.06%	17.57%	11.82%	13.48%	11.21%
Avg Days To Max Increase		12	17	17	16	17	17	15	16	15	10	12
Avg Max Decline		-0.31%	-1.07%	-0.83%	-0.88%	-0.69%	-1.08%	-0.71%	-1.17%	-0.89%	-0.99%	-0.58%
Max Decline		-1.75%	-2.31%	-3.17%	-2.49%	-2.20%	-4.65%	-3.58%	-3.35%	-2.56%	-3.07%	-1.52%
Avg Days to Max Decline		4	11	5	8	7	9	3	7	6	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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		32	32	32	45	45	45	45	45	45	45	45
Closed Lower		15	17	19	23	24	16	18	17	23	24	13
Penetrated Low		11	15	14	19	15	10	14	14	15	15	7
Scenario Percentage		73%	88%	74%	83%	63%	63%	78%	82%	65%	63%	54%
Avg Max Decline		5.02%	3.14%	4.42%	4.40%	4.07%	3.94%	4.05%	5.82%	4.97%	3.40%	2.92%
Max Decline		15.24%	7.81%	11.60%	9.68%	6.80%	11.69%	10.89%	13.43%	11.46%	8.70%	6.48%
Avg Days To Max Decline		17	21	20	15	14	13	17	20	16	11	11
Avg Max Increase		-0.65%	-1.53%	-1.32%	-0.40%	-0.68%	-0.99%	-2.00%	-1.15%	-1.38%	-1.12%	-0.66%
Max Increase		-2.26%	-6.13%	-5.07%	-1.95%	-3.14%	-3.82%	-5.17%	-5.05%	-5.70%	-3.56%	-1.58%
Avg Days to Max Increase		12	13	12	6	4	6	11	8	6	7	3
2022 Contract Condition					Yes	Yes	Yes		Yes	Yes	Yes
Action					Yes	Yes	No		Yes	Yes	Not Yet
High				151~290	148~300	140~160	138~070	143~250	145~140	135~040	129~120	128~220
Low				146~070	138~150	135~020	130~270	136~070	134~310	123~300	117~190	118~030
Close/Last				149~060	139~140	138~300	137~240	143~160	135~270	126~130	120~160	127~010