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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   15 18 25 27 31 31 32 32 33 33 33
Closed Higher   9 13 14 19 15 9 16 15 20 20 24
Exceeded High   7 10 12 14 14 5 15 14 15 19 18
Scenario Percentage   78% 77% 86% 74% 93% 56% 94% 93% 75% 95% 75%
Avg Max Increase   2.97% 2.86% 3.11% 2.48% 1.53% 4.89% 3.85% 3.13% 3.71% 3.13% 1.65%
Max Increase   7.63% 5.70% 8.99% 11.72% 6.75% 9.14% 10.78% 6.35% 7.98% 9.50% 3.28%
Avg Days To Max Increase   16 18 16 11 16 24 15 20 18 11 10
Avg Max Decline   -0.14% -0.51% -0.86% -0.56% -0.85% -0.64% -0.44% -0.39% -0.76% -0.64% -0.46%
Max Decline   -0.84% -2.18% -3.19% -2.77% -2.71% -1.37% -1.32% -1.03% -2.41% -2.24% -1.37%
Avg Days to Max Decline   2 5 11 8 9 6 5 7 11 6 3
2014 Contract Condition   Yes     Yes Yes   Yes Yes     Yes
Action   No     Yes Yes   Yes No     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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   15 18 25 27 31 31 32 32 33 33 33
Closed Lower   6 5 11 8 16 21 15 17 13 13 9
Penetrated Low   3 3 8 8 13 16 13 10 7 8 3
Scenario Percentage   50% 60% 73% 100% 81% 76% 87% 59% 54% 62% 33%
Avg Max Decline   1.73% 1.53% 1.99% 1.90% 2.51% 2.71% 3.18% 2.49% 2.78% 2.17% 1.98%
Max Decline   2.29% 2.87% 4.22% 4.63% 5.93% 9.11% 6.90% 4.91% 6.67% 5.63% 3.68%
Avg Days To Max Decline   17 3 20 13 18 18 16 16 10 9 7
Avg Max Increase   -0.15% -0.57% -1.11% -0.45% -0.40% -0.81% -0.39% -0.71% -0.69% -0.48% -0.23%
Max Increase   -1.44% -0.88% -3.52% -1.37% -1.18% -3.65% -1.64% -1.83% -1.58% -1.10% -0.43%
Avg Days to Max Increase   9 6 18 5 9 12 7 5 10 5 2
2014 Contract Condition     Yes Yes     Yes     Yes Yes  
Action     Yes No     Yes     No Not Yet  
High 124~185 125~315 125~190 124~170 123~195 124~100 124~155 124~005 126~000 125~125 125~235 127~010
Low 121~290 124~005 124~020 120~305 120~305 123~040 122~045 122~000 122~310 123~250 123~260 124~130
Close/Last 124~185 125~190 124~170 120~305 123~195 124~010 122~180 123~170 125~165 125~055 124~195 126~105

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