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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 Nov 09, 2020
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 43 43 43 43 43 43 43 43
Closed Higher   16 19 18 20 29 22 25 22 18 20 21
Exceeded High   15 18 15 18 24 19 15 16 12 18 18
Scenario Percentage   94% 95% 83% 90% 83% 86% 60% 73% 67% 90% 86%
Avg Max Increase   4.21% 4.53% 3.97% 4.56% 4.35% 4.08% 4.37% 4.04% 4.30% 5.45% 3.10%
Max Increase   12.20% 15.55% 10.84% 12.87% 11.27% 13.95% 17.89% 12.59% 11.08% 13.58% 9.77%
Avg Days To Max Increase   13 18 18 14 15 17 14 17 16 11 12
Avg Max Decline   -0.50% -1.02% -1.08% -0.75% -1.25% -1.55% -0.85% -1.63% -1.00% -0.83% -0.43%
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 7 11 5 7 2
2020 Contract Condition               Yes Yes Yes Yes  
Action               Yes Yes No 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 43 43 43 43 43 43 43 43
Closed Lower   14 11 15 23 14 20 18 21 25 23 22
Penetrated Low   10 10 8 15 10 14 14 18 16 18 12
Scenario Percentage   71% 91% 53% 65% 71% 70% 78% 86% 64% 78% 55%
Avg Max Decline   4.54% 5.05% 4.74% 3.37% 3.27% 4.82% 4.61% 3.31% 3.98% 4.21% 3.26%
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 15 13 17 16 17 17 14 10
Avg Max Increase   -2.05% -1.31% -1.53% -1.20% -0.94% -0.57% -0.74% -1.37% -1.18% -0.64% -0.51%
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 13 7 6 7 9 12 4 2
2020 Contract Condition         Yes Yes Yes         Yes
Action         Yes Yes Yes         Yes
High       162~050 164~050 159~260 160~030 162~310 170~280 191~220 183~020 182~150
Low       157~310 157~150 155~180 154~200 154~180 159~180 167~050 177~140 177~260
Close/Last       161~160 160~190 158~310 154~310 162~190 170~080 179~020 181~010 180~000

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