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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 30-Year T-Bonds(CBOT) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 30 30 30 30 30 30 30 30 31 31 31
Closed Higher 16 15 10 13 13 22 16 19 17 18 23
Exceeded High 11 10 7 12 13 15 16 18 15 16 14
Scenario Percentage 69% 67% 70% 92% 100% 68% 100% 95% 88% 89% 61%
Avg Max Increase 3.22% 3.85% 8.02% 6.27% 4.55% 4.99% 4.60% 4.74% 4.35% 4.54% 2.30%
Max Increase 6.77% 11.95% 21.24% 13.90% 8.88% 12.26% 13.77% 17.57% 11.82% 13.48% 5.54%
Avg Days To Max Increase 12 17 19 15 17 17 13 18 16 11 11
Avg Max Decline -0.31% -1.07% -0.95% -0.90% -0.41% -1.14% -0.56% -1.09% -0.95% -0.98% -0.67%
Max Decline -1.75% -2.31% -3.17% -2.49% -1.47% -4.65% -1.75% -3.02% -2.56% -3.07% -1.52%
Avg Days to Max Decline 4 11 6 9 5 9 4 7 6 6 3
2007 Contract Condition   Yes   Yes     Yes Yes   Yes Yes
Action   No   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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 30 30 30 30 30 30 30 30 31 31 31
Closed Lower 14 15 19 16 17 8 14 11 14 13 8
Penetrated Low 10 14 14 14 9 5 12 8 8 9 7
Scenario Percentage 71% 93% 74% 88% 53% 62% 86% 73% 57% 69% 88%
Avg Max Decline 5.34% 3.31% 4.42% 4.03% 3.75% 5.48% 4.31% 6.22% 5.00% 2.34% 8.30%
Max Decline 15.24% 7.81% 11.60% 9.68% 6.80% 11.69% 10.89% 12.39% 11.46% 6.72% 16.86%
Avg Days To Max Decline 19 21 20 15 16 16 18 22 12 10 12
Avg Max Increase -0.51% -1.22% -1.32% -0.51% -0.97% -0.91% -2.09% -1.67% -1.07% -1.15% -2.54%
Max Increase -2.26% -6.13% -5.07% -1.95% -3.14% -1.62% -5.17% -5.05% -5.70% -3.56% -3.52%
Avg Days to Max Increase 12 12 12 4 5 6 9 11 7 9 10
2007 Contract Condition Yes   Yes   Yes Yes     Yes    
Action No   Yes   Yes No     No    
High 112~200 114~000 113~160 112~050 112~240 109~040 110~080 111~310 114~080 114~050 119~120
Low 109~100 109~310 111~100 110~090 108~220 104~180 105~290 108~200 109~290 110~020 112~070
Close/Last 110~010 112~300 111~100 111~260 109~050 107~180 109~310 111~180 111~110 112~190 117~060

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Newsflash

Exciting update, MRCI traders!

Over the coming weeks, we’re transitioning our research from E-mini stock index futures (ES, YM, NQ, RTY) to the corresponding E-micro contracts. This shift keeps our seasonal strategies accurate, accessible, and aligned with today’s marketplace — while preserving the trusted historical patterns you rely on.

Learn more about the transition - here