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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 30-Year T-Bonds(CBOT) as of Jan 01, 2016
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 33 38 38 38 38 38 38 38 38
Closed Higher   16 19 18 20 28 20 21 19 14 18 17
Exceeded High   15 18 15 18 23 18 12 14 9 17 15
Scenario Percentage   94% 95% 83% 90% 82% 90% 57% 74% 64% 94% 88%
Avg Max Increase   4.21% 4.53% 3.97% 4.56% 4.26% 4.20% 3.20% 3.54% 5.14% 5.60% 3.21%
Max Increase   12.20% 15.55% 10.84% 12.87% 11.27% 13.95% 6.72% 12.22% 11.08% 13.58% 9.77%
Avg Days To Max Increase   13 18 18 14 16 18 14 17 17 11 11
Avg Max Decline   -0.50% -1.02% -1.08% -0.75% -1.33% -1.64% -0.74% -1.53% -0.98% -0.77% -0.43%
Max Decline   -3.24% -3.05% -3.17% -2.94% -5.97% -5.50% -2.42% -2.97% -3.13% -2.41% -1.47%
Avg Days to Max Decline   5 7 10 6 7 8 6 12 4 7 2
2015 Contract Condition         Yes Yes Yes Yes   Yes    
Action         Yes Yes Yes No   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 33 38 38 38 38 38 38 38 38
Closed Lower   14 11 15 18 10 17 17 19 24 20 21
Penetrated Low   10 10 8 12 7 13 13 17 16 17 11
Scenario Percentage   71% 91% 53% 67% 70% 76% 76% 89% 67% 85% 52%
Avg Max Decline   4.54% 5.05% 4.74% 2.96% 3.49% 5.17% 4.69% 3.47% 3.98% 4.31% 3.18%
Max Decline   10.76% 12.31% 10.61% 8.81% 6.95% 23.44% 15.50% 7.71% 11.51% 10.02% 5.70%
Avg Days To Max Decline   18 22 14 14 12 18 16 18 17 14 10
Avg Max Increase   -2.05% -1.31% -1.53% -1.53% -1.00% -0.55% -0.79% -1.44% -1.18% -0.66% -0.54%
Max Increase   -5.02% -4.37% -5.34% -4.51% -3.44% -2.49% -2.92% -7.47% -5.30% -2.80% -1.64%
Avg Days to Max Increase   10 9 8 14 7 6 8 9 12 4 2
2015 Contract Condition                 Yes   Yes Yes
Action                 Yes   Yes Yes
High       136~250 152~040 154~190 161~090 171~090 171~040 165~270 166~270 159~260
Low       135~090 137~160 149~050 152~020 158~280 158~260 154~270 158~080 151~040
Close/Last       136~120 150~050 154~100 159~030 170~230 161~270 163~280 159~190 157~060

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