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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 Dec 30, 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 39 39 39 39 39 39 39 39
Closed Higher   15 25 18 22 20 15 18 18 26 23 24
Exceeded High   14 21 17 12 14 10 17 18 19 20 19
Scenario Percentage   93% 84% 94% 55% 70% 67% 94% 100% 73% 87% 79%
Avg Max Increase   4.94% 3.77% 3.98% 3.60% 3.52% 6.83% 5.94% 4.50% 4.78% 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 18 17 13 13
Avg Max Decline   -0.65% -1.26% -1.56% -0.70% -1.50% -0.84% -0.80% -0.77% -1.14% -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 9 4 3
2016 Contract Condition         Yes Yes     Yes Yes Yes  
Action         Yes 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 39 39 39 39 39 39 39 39
Closed Lower   14 6 14 17 19 24 20 21 13 16 15
Penetrated Low   9 2 10 13 17 17 17 13 7 12 9
Scenario Percentage   64% 33% 71% 76% 89% 71% 85% 62% 54% 75% 60%
Avg Max Decline   2.16% 3.65% 3.87% 4.66% 3.42% 3.93% 4.38% 3.97% 4.78% 3.69% 2.83%
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 18 15 15 16 13 12
Avg Max Increase   -1.27% -2.38% -1.07% -0.69% -1.46% -1.17% -0.64% -0.95% -1.03% -1.90% -0.50%
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 11 4 4 6 9 3
2016 Contract Condition             Yes Yes       Yes
Action             Yes No       Yes
High       154~240 159~230 168~220 163~190 165~270 165~170 173~250 177~110 174~190
Low       151~300 152~120 159~060 159~310 159~200 160~200 162~250 169~310 170~070
Close/Last       152~140 159~230 163~090 163~050 161~300 163~100 172~110 174~140 171~270

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