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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 Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   15 19 26 29 31 33 33 33 33 33 33
Closed Higher   11 8 8 15 14 21 21 24 25 21 19
Exceeded High   8 7 4 13 13 16 20 22 23 17 15
Scenario Percentage   73% 88% 50% 87% 93% 76% 95% 92% 92% 81% 79%
Avg Max Increase   3.10% 1.82% 5.41% 3.87% 3.10% 3.68% 3.58% 3.38% 2.72% 2.56% 1.69%
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   11 15 27 14 20 19 16 14 17 7 10
Avg Max Decline   -0.82% -0.70% -0.37% -0.30% -0.25% -0.67% -0.61% -0.77% -0.66% -0.59% -0.39%
Max Decline   -2.70% -2.30% -0.93% -1.17% -1.03% -2.26% -2.27% -2.14% -1.40% -1.32% -1.15%
Avg Days to Max Decline   9 9 7 5 9 11 6 8 9 6 2
2014 Contract Condition   Yes Yes   Yes Yes     Yes   Yes Yes
Action   Yes Yes   Yes No     Yes   Not Yet 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   15 19 26 29 31 33 33 33 33 33 33
Closed Lower   4 11 18 14 17 12 12 9 8 12 14
Penetrated Low   4 8 13 12 10 7 8 5 5 6 9
Scenario Percentage   100% 73% 72% 86% 59% 58% 67% 56% 63% 50% 64%
Avg Max Decline   1.35% 2.79% 2.88% 3.57% 2.59% 2.95% 2.22% 2.62% 2.68% 1.62% 1.84%
Max Decline   2.51% 6.28% 9.03% 6.70% 5.16% 7.37% 5.91% 8.15% 4.65% 2.81% 4.24%
Avg Days To Max Decline   12 19 15 16 15 12 13 16 13 9 11
Avg Max Increase   -0.60% -0.31% -0.49% -0.06% -0.45% -0.64% -0.76% -0.76% -0.94% -0.44% -0.46%
Max Increase   -1.37% -1.12% -1.35% -0.67% -1.39% -1.60% -2.86% -1.65% -3.00% -1.50% -1.13%
Avg Days to Max Increase   6 9 11 10 6 10 6 9 5 7 4
2014 Contract Condition       Yes     Yes Yes   Yes    
Action       Yes     No No   No    
High 124~170 123~195 124~100 124~150 123~270 124~300 124~240 124~265 126~120 125~245 130~170 127~250
Low 120~305 120~305 123~040 122~150 121~315 123~165 122~210 123~040 123~185 123~160 124~220 125~270
Close/Last 120~305 123~195 124~010 122~175 123~165 124~240 124~130 123~245 125~250 124~205 126~115 127~210

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