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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March 10-Year T-Notes(CBOT) as of May 10, 2021
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 Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   19 22 28 35 39 39 39 39 39 39 39
Closed Higher   10 11 16 22 28 29 21 21 20 27 20
Exceeded High   10 10 12 19 25 25 18 19 18 19 16
Scenario Percentage   100% 91% 75% 86% 89% 86% 86% 90% 90% 70% 80%
Avg Max Increase   3.57% 2.63% 3.06% 3.04% 3.04% 2.57% 2.76% 2.68% 2.89% 2.63% 1.56%
Max Increase   9.87% 5.99% 5.18% 9.68% 12.83% 7.97% 7.51% 6.39% 8.15% 9.27% 4.37%
Avg Days To Max Increase   14 21 21 16 13 16 14 16 18 11 9
Avg Max Decline   -0.11% -0.22% -0.59% -0.30% -0.64% -0.58% -0.60% -0.68% -1.01% -0.79% -0.26%
Max Decline   -0.40% -0.99% -2.04% -2.11% -2.14% -1.38% -2.27% -2.19% -3.13% -2.57% -1.34%
Avg Days to Max Decline   3 10 11 4 10 9 8 7 9 8 3
2021 Contract Condition         Yes   Yes   Yes      
Action         Yes   No   No      
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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 Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   19 22 28 35 39 39 39 39 39 39 39
Closed Lower   9 11 11 13 11 10 18 18 18 12 19
Penetrated Low   7 8 6 8 8 7 13 14 10 9 16
Scenario Percentage   78% 73% 55% 62% 73% 70% 72% 78% 56% 75% 84%
Avg Max Decline   3.46% 2.58% 1.87% 2.04% 2.10% 2.34% 1.94% 2.01% 2.46% 1.68% 1.43%
Max Decline   6.91% 5.27% 6.46% 5.88% 8.03% 4.52% 5.11% 4.49% 4.53% 3.53% 2.52%
Avg Days To Max Decline   11 13 10 17 20 13 13 13 21 13 12
Avg Max Increase   -0.20% -0.59% -0.44% -0.74% -0.62% -0.82% -0.48% -0.61% -0.79% -0.85% -0.39%
Max Increase   -0.68% -1.40% -1.45% -2.04% -1.66% -2.89% -1.64% -1.35% -3.95% -1.72% -1.29%
Avg Days to Max Increase   14 6 9 8 14 6 7 3 12 7 4
2021 Contract Condition           Yes   Yes   Yes Yes Yes
Action           Yes   Yes   Yes Yes Yes
High       139~100 140~005 140~085 139~315 139~150 138~300 138~080 138~055 137~095
Low       138~135 138~295 138~265 139~010 137~230 136~265 137~075 136~010 133~025
Close/Last       139~050 140~005 139~080 139~085 137~265 138~055 138~025 137~010 133~255

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