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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, 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 Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   29 31 33 38 38 38 38 38 38 38 38
Closed Higher   15 25 18 21 19 15 18 17 25 22 24
Exceeded High   14 21 17 11 14 10 17 17 18 20 19
Scenario Percentage   93% 84% 94% 52% 74% 67% 94% 100% 72% 91% 79%
Avg Max Increase   4.94% 3.77% 3.98% 3.42% 3.52% 6.83% 5.94% 4.26% 4.88% 4.70% 2.43%
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 17 15 19 18 13 13
Avg Max Decline   -0.65% -1.26% -1.56% -0.73% -1.50% -0.84% -0.80% -0.80% -1.22% -0.67% -0.73%
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 4 3
2015 Contract Condition         Yes   Yes       Yes Yes
Action         No   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 38 38 38 38 38 38 38 38
Closed Lower   14 6 14 17 19 23 19 21 13 16 14
Penetrated Low   9 2 10 13 17 16 17 13 7 12 8
Scenario Percentage   64% 33% 71% 76% 89% 70% 89% 62% 54% 75% 57%
Avg Max Decline   2.16% 3.65% 3.87% 4.66% 3.42% 4.04% 4.38% 3.97% 4.78% 3.69% 2.77%
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 20 17 15 15 16 13 12
Avg Max Increase   -1.27% -2.38% -1.07% -0.69% -1.46% -1.14% -0.64% -0.95% -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 11 12 4 4 6 9 2
2015 Contract Condition           Yes   Yes Yes Yes    
Action           Yes   Yes Yes No    
High       157~240 169~070 169~070 163~270 165~070 158~010 155~140 156~210 163~010
Low       155~180 159~080 157~170 153~240 156~250 149~170 147~110 147~260 155~070
Close/Last       157~190 169~070 160~110 162~130 158~010 155~200 150~270 155~300 156~040

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