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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 Sep 30, 2017
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 Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   32 32 32 39 39 39 39 39 40 40 40
Closed Higher   17 15 12 18 18 26 23 25 21 20 28
Exceeded High   11 10 8 17 18 19 21 22 18 16 17
Scenario Percentage   65% 67% 67% 94% 100% 73% 91% 88% 86% 80% 61%
Avg Max Increase   3.22% 3.85% 7.11% 5.82% 4.41% 4.78% 5.12% 4.93% 3.95% 4.54% 2.92%
Max Increase   6.77% 11.95% 21.24% 13.90% 8.88% 12.26% 16.06% 17.57% 11.82% 13.48% 11.21%
Avg Days To Max Increase   12 17 17 16 18 17 16 17 15 11 12
Avg Max Decline   -0.31% -1.07% -0.83% -0.80% -0.67% -1.09% -0.71% -1.19% -0.89% -0.98% -0.70%
Max Decline   -1.75% -2.31% -3.17% -2.49% -2.20% -4.65% -3.58% -3.35% -2.56% -3.07% -1.52%
Avg Days to Max Decline   4 11 5 8 8 9 3 7 6 6 3
2017 Contract Condition         Yes Yes     Yes      
Action         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 Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   32 32 32 39 39 39 39 39 40 40 40
Closed Lower   15 17 19 20 21 13 16 14 19 20 12
Penetrated Low   11 15 14 17 13 8 13 11 11 13 7
Scenario Percentage   73% 88% 74% 85% 62% 62% 81% 79% 58% 65% 58%
Avg Max Decline   5.02% 3.14% 4.42% 4.41% 4.00% 4.47% 4.22% 5.65% 5.46% 3.34% 2.83%
Max Decline   15.24% 7.81% 11.60% 9.68% 6.80% 11.69% 10.89% 12.39% 11.46% 8.70% 6.48%
Avg Days To Max Decline   17 21 20 15 15 16 17 21 14 11 10
Avg Max Increase   -0.65% -1.53% -1.32% -0.41% -0.85% -1.11% -2.00% -1.27% -1.33% -1.07% -0.66%
Max Increase   -2.26% -6.13% -5.07% -1.95% -3.14% -3.82% -5.17% -5.05% -5.70% -3.56% -1.58%
Avg Days to Max Increase   12 13 12 5 4 7 10 9 6 8 3
2017 Contract Condition             Yes Yes   Yes Yes  
Action             Yes No   Not Yet    
High       150~080 153~290 153~030 156~010 153~210 156~280 158~090 153~040  
Low       149~100 150~080 148~190 152~130 150~110 151~000 152~010 152~020  
Close/Last       149~200 151~250 153~030 152~160 151~230 156~030 152~260 152~220  

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