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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, 2018
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 40 40 40 40 40 40 40 40
Closed Higher   15 25 18 23 21 15 19 19 26 23 25
Exceeded High   14 21 17 12 15 10 18 19 19 20 20
Scenario Percentage   93% 84% 94% 52% 71% 67% 95% 100% 73% 87% 80%
Avg Max Increase   4.94% 3.77% 3.98% 3.60% 3.40% 6.83% 5.81% 4.38% 4.78% 4.69% 2.36%
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 17 11 10
Avg Max Decline   -0.65% -1.26% -1.56% -0.70% -1.71% -0.84% -0.86% -0.75% -1.14% -0.67% -0.70%
Max Decline   -2.49% -5.56% -5.39% -2.26% -4.55% -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 2
2017 Contract Condition         Yes Yes   Yes Yes     Yes
Action         No Yes   Yes Yes     Yes
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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 40 40 40 40 40 40 40 40
Closed Lower   14 6 14 17 19 25 20 21 14 17 15
Penetrated Low   9 2 10 13 17 17 17 13 8 12 9
Scenario Percentage   64% 33% 71% 76% 89% 68% 85% 62% 57% 71% 60%
Avg Max Decline   2.16% 3.65% 3.87% 4.66% 3.42% 3.93% 4.38% 3.97% 4.36% 3.69% 2.81%
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 15 13 12
Avg Max Increase   -1.27% -2.38% -1.07% -0.69% -1.46% -1.17% -0.64% -0.95% -0.93% -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
2017 Contract Condition             Yes     Yes Yes  
Action             No     Yes Not Yet  
High       149~120 152~010 152~010 150~240 154~070 153~280 157~080 154~310 158~040
Low       147~080 148~070 148~220 144~240 149~130 149~000 153~040 151~180 152~090
Close/Last       149~120 149~190 151~210 149~200 151~250 153~260 153~220 152~310 157~120

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