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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 10-Year T-Notes(CBOT) as of Jan 21, 2022
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   20 22 29 36 38 38 38 39 39 39 39
Closed Higher   12 17 21 20 21 22 27 20 16 20 19
Exceeded High   10 16 20 14 19 19 20 16 10 19 15
Scenario Percentage   83% 94% 95% 70% 90% 86% 74% 80% 63% 95% 79%
Avg Max Increase   3.74% 2.90% 2.52% 3.18% 2.63% 2.95% 2.80% 2.28% 2.96% 3.11% 1.64%
Max Increase   9.06% 11.62% 7.59% 7.76% 5.65% 8.72% 11.48% 6.91% 9.31% 10.46% 3.23%
Avg Days To Max Increase   15 13 19 15 16 18 14 13 17 11 12
Avg Max Decline   -0.55% -0.54% -0.32% -0.33% -0.50% -0.85% -0.79% -0.59% -0.71% -0.45% -0.20%
Max Decline   -2.13% -1.84% -1.22% -1.32% -2.12% -3.16% -2.88% -1.61% -2.32% -1.24% -0.64%
Avg Days to Max Decline   4 11 8 6 5 9 9 5 9 5 2
2021 Contract Condition           Yes         Yes Yes
Action           No         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   20 22 29 36 38 38 38 39 39 39 39
Closed Lower   8 4 8 16 17 16 11 19 22 18 19
Penetrated Low   4 2 4 12 13 10 9 17 14 15 10
Scenario Percentage   50% 50% 50% 75% 76% 63% 82% 89% 64% 83% 53%
Avg Max Decline   1.56% 0.82% 2.76% 1.86% 1.89% 2.24% 1.88% 2.18% 2.75% 2.89% 1.79%
Max Decline   2.47% 1.51% 4.16% 5.28% 4.97% 4.57% 3.83% 5.76% 8.91% 6.51% 3.48%
Avg Days To Max Decline   10 5 12 13 11 19 17 15 16 14 10
Avg Max Increase   -0.31% -0.10% -0.96% -0.14% -0.47% -0.80% -0.73% -0.42% -0.78% -0.40% -0.50%
Max Increase   -1.04% -0.20% -2.92% -1.61% -1.41% -3.63% -1.59% -1.27% -3.49% -1.78% -1.80%
Avg Days to Max Increase   4 3 10 5 5 11 5 7 11 4 2
2021 Contract Condition         Yes   Yes Yes Yes Yes    
Action         Yes   Yes Yes Yes Yes    
High       139~200 139~085 138~200 137~230 137~085 136~085 133~230 132~245 133~165
Low       139~085 137~265 137~005 136~235 135~005 131~310 130~260 130~255 131~265
Close/Last       139~085 137~265 138~055 137~060 136~005 132~230 130~300 132~010 132~275

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