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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 30-Year T-Bonds(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 Feb Feb Feb Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   29 31 33 37 37 37 37 37 37 37 37
Closed Higher   15 25 18 20 19 14 18 17 25 21 23
Exceeded High   14 21 17 11 14 9 17 17 18 19 19
Scenario Percentage   93% 84% 94% 55% 74% 64% 94% 100% 72% 90% 83%
Avg Max Increase   4.94% 3.77% 3.98% 3.42% 3.52% 7.40% 5.94% 4.26% 4.88% 4.68% 2.39%
Max Increase   12.38% 11.29% 14.46% 6.69% 12.15% 22.19% 13.83% 9.25% 12.19% 11.76% 5.55%
Avg Days To Max Increase   16 15 17 15 18 18 15 19 18 10 10
Avg Max Decline   -0.65% -1.26% -1.56% -0.73% -1.50% -0.98% -0.80% -0.80% -1.22% -0.68% -0.70%
Max Decline   -2.49% -5.56% -5.39% -2.26% -2.74% -3.15% -2.47% -2.27% -4.58% -3.52% -1.95%
Avg Days to Max Decline   5 8 8 8 12 4 7 6 10 3 2
2014 Contract Condition         Yes Yes Yes Yes Yes   Yes Yes
Action         Yes Yes Yes Yes Yes   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 Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   29 31 33 37 37 37 37 37 37 37 37
Closed Lower   14 6 14 17 18 23 18 20 12 16 14
Penetrated Low   9 2 10 13 16 16 16 12 7 12 8
Scenario Percentage   64% 33% 71% 76% 89% 70% 89% 60% 58% 75% 57%
Avg Max Decline   2.16% 3.65% 3.87% 4.66% 3.38% 4.04% 4.23% 3.85% 4.78% 3.59% 2.75%
Max Decline   3.81% 4.26% 7.43% 15.40% 7.67% 11.64% 9.68% 6.81% 11.50% 8.04% 5.94%
Avg Days To Max Decline   14 24 22 17 21 17 15 14 16 13 11
Avg Max Increase   -1.27% -2.38% -1.07% -0.69% -1.55% -1.14% -0.68% -1.04% -1.03% -1.90% -0.48%
Max Increase   -4.32% -3.09% -3.84% -2.67% -6.86% -5.19% -2.78% -3.05% -3.63% -5.12% -1.18%
Avg Days to Max Increase   14 22 12 12 12 12 4 4 6 9 2
2014 Contract Condition                   Yes    
Action                   Yes    
High       128~230 130~250 132~030 133~110 134~170 138~100 137~120 139~030 141~300
Low       126~270 126~280 129~150 128~130 131~000 133~270 134~150 134~110 136~250
Close/Last       126~280 130~250 131~260 132~100 134~050 137~150 137~060 137~130 141~170

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