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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 May 10, 2024
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 32 45 45 45 45 45 45 45 45
Closed Higher   16 19 18 21 31 22 26 22 19 22 22
Exceeded High   15 18 15 19 26 19 15 16 13 19 19
Scenario Percentage   94% 95% 83% 90% 84% 86% 58% 73% 68% 86% 86%
Avg Max Increase   4.21% 4.53% 3.97% 4.54% 4.32% 4.08% 4.37% 4.04% 4.16% 5.35% 3.09%
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 15 12 12
Avg Max Decline   -0.50% -1.02% -1.08% -0.76% -1.23% -1.55% -0.85% -1.63% -0.96% -0.84% -0.44%
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 7 8 8 7 11 5 7 2
2024 Contract Condition           Yes Yes     Yes   Yes
Action           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 32 45 45 45 45 45 45 45 45
Closed Lower   14 11 14 24 14 22 19 23 26 23 23
Penetrated Low   10 10 7 15 10 16 15 20 16 18 13
Scenario Percentage   71% 91% 50% 63% 71% 73% 79% 87% 62% 78% 57%
Avg Max Decline   4.54% 5.05% 5.07% 3.37% 3.27% 5.06% 5.22% 3.79% 4.51% 4.49% 3.47%
Max Decline   10.76% 12.31% 10.61% 8.81% 6.95% 23.44% 15.50% 11.65% 11.51% 10.02% 5.92%
Avg Days To Max Decline   18 22 16 13 13 18 17 16 16 13 10
Avg Max Increase   -2.05% -1.31% -1.76% -1.21% -0.94% -0.90% -0.85% -1.34% -1.12% -0.70% -0.50%
Max Increase   -5.02% -4.37% -5.34% -4.51% -3.44% -6.69% -2.92% -7.47% -5.30% -2.80% -1.64%
Avg Days to Max Increase   10 9 9 12 7 7 9 7 11 5 2
2024 Contract Condition         Yes     Yes Yes   Yes  
Action         No     Yes Yes   Not Yet  
High       119~020 113~220 117~240 126~000 124~190 124~240 122~130 120~150 117~070
Low       113~240 108~000 110~190 116~210 118~310 117~110 118~030 112~270 113~220
Close/Last       114~030 109~200 116~210 125~010 122~110 119~080 120~140 113~260 116~020

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