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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March 10-Year T-Notes(CBOT) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   17 20 26 28 32 32 32 32 32 32 32
Closed Higher   9 10 16 18 23 26 20 18 19 22 17
Exceeded High   9 10 12 16 21 24 18 17 17 16 15
Scenario Percentage   100% 100% 75% 89% 91% 92% 90% 94% 89% 73% 88%
Avg Max Increase   3.84% 2.63% 3.06% 3.39% 3.28% 2.63% 2.76% 2.62% 3.00% 2.46% 1.36%
Max Increase   9.87% 5.99% 5.18% 9.68% 12.83% 7.97% 7.51% 6.39% 8.15% 9.27% 3.99%
Avg Days To Max Increase   12 21 21 17 15 17 14 16 19 10 9
Avg Max Decline   -0.12% -0.22% -0.59% -0.32% -0.65% -0.60% -0.60% -0.67% -1.06% -0.82% -0.26%
Max Decline   -0.40% -0.99% -2.04% -2.11% -2.14% -1.38% -2.27% -2.19% -3.13% -2.57% -1.34%
Avg Days to Max Decline   3 10 11 4 11 10 8 7 9 8 3
2014 Contract Condition   Yes         Yes Yes     Yes Yes
Action   Yes         Yes No     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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   17 20 26 28 32 32 32 32 32 32 32
Closed Lower   8 10 9 10 9 6 12 14 13 10 15
Penetrated Low   6 7 5 7 6 4 8 11 9 7 13
Scenario Percentage   75% 70% 56% 70% 67% 67% 67% 79% 69% 70% 87%
Avg Max Decline   3.60% 2.59% 2.07% 2.23% 2.43% 3.10% 1.85% 2.11% 2.33% 1.48% 1.49%
Max Decline   6.91% 5.27% 6.46% 5.88% 8.03% 4.52% 2.99% 4.49% 4.53% 2.13% 2.52%
Avg Days To Max Decline   12 13 11 16 18 13 13 11 21 12 12
Avg Max Increase   -0.24% -0.67% -0.53% -0.66% -0.61% -0.99% -0.45% -0.62% -0.87% -0.95% -0.41%
Max Increase   -0.68% -1.40% -1.45% -2.04% -1.66% -2.89% -1.64% -1.35% -3.95% -1.72% -1.29%
Avg Days to Max Increase   16 6 11 6 9 6 9 3 13 8 5
2014 Contract Condition     Yes Yes Yes Yes     Yes Yes    
Action     Yes Yes Yes Yes     Yes No    
High 131~250 132~220 132~280 129~250 126~090 125~285 125~070 126~250 126~120 125~105 125~290 126~160
Low 130~065 131~035 129~070 124~295 123~240 123~000 122~035 124~070 124~140 122~245 122~250 125~030
Close/Last 131~035 132~190 129~070 125~200 125~160 124~090 125~025 126~030 125~120 123~015 125~240 126~035

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