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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, 2019
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 41 41 41 41 41 41 41 41
Closed Higher   16 19 18 20 28 21 23 21 16 19 20
Exceeded High   15 18 15 18 23 18 13 15 11 18 17
Scenario Percentage   94% 95% 83% 90% 82% 86% 57% 71% 69% 95% 85%
Avg Max Increase   4.21% 4.53% 3.97% 4.56% 4.26% 4.20% 3.42% 3.47% 4.39% 5.45% 3.20%
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 15 11 12
Avg Max Decline   -0.50% -1.02% -1.08% -0.75% -1.33% -1.64% -0.71% -1.68% -0.86% -0.83% -0.42%
Max Decline   -3.24% -3.05% -3.17% -2.94% -5.97% -5.50% -2.42% -3.85% -3.13% -2.41% -1.47%
Avg Days to Max Decline   5 7 10 6 7 8 5 12 4 7 2
2018 Contract Condition             Yes     Yes   Yes
Action             No     Yes   Not Yet
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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 41 41 41 41 41 41 41 41
Closed Lower   14 11 15 21 13 19 18 20 25 22 21
Penetrated Low   10 10 8 14 9 13 14 17 16 18 11
Scenario Percentage   71% 91% 53% 67% 69% 68% 78% 85% 64% 82% 52%
Avg Max Decline   4.54% 5.05% 4.74% 3.35% 3.33% 5.17% 4.61% 3.47% 3.98% 4.21% 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 14 18 16 18 17 14 10
Avg Max Increase   -2.05% -1.31% -1.53% -1.31% -0.96% -0.55% -0.74% -1.44% -1.18% -0.64% -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 12 8 6 7 9 12 4 2
2018 Contract Condition         Yes Yes   Yes Yes   Yes  
Action         No Yes   Yes No   Yes  
High       153~080 152~150 152~280 153~140 151~190 146~310 146~240 147~030 146~230
Low       151~070 149~050 150~160 149~140 146~040 141~140 142~210 141~170 140~050
Close/Last       151~080 150~290 150~270 151~290 146~250 143~140 146~200 143~270 146~000

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