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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, 2016
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   16 19 26 28 32 32 33 33 34 34 34
Closed Higher   10 14 15 20 15 10 16 15 20 21 25
Exceeded High   7 11 13 15 14 6 15 14 15 20 18
Scenario Percentage   70% 79% 87% 75% 93% 60% 94% 93% 75% 95% 72%
Avg Max Increase   2.97% 2.91% 3.14% 2.31% 1.53% 4.23% 3.85% 3.13% 3.71% 3.10% 1.68%
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 19 15 11 16 21 15 20 18 13 11
Avg Max Decline   -0.14% -0.54% -0.79% -0.52% -0.85% -0.50% -0.44% -0.39% -0.76% -0.64% -0.48%
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 10 7 9 5 5 7 11 6 3
2015 Contract Condition   Yes Yes Yes Yes   Yes       Yes Yes
Action   No Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   16 19 26 28 32 32 33 33 34 34 34
Closed Lower   6 5 11 8 17 21 16 18 14 13 9
Penetrated Low   3 3 8 8 14 16 14 11 7 8 3
Scenario Percentage   50% 60% 73% 100% 82% 76% 88% 61% 50% 62% 33%
Avg Max Decline   1.73% 1.53% 1.99% 1.90% 2.43% 2.71% 3.14% 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 17 18 16 15 10 9 7
Avg Max Increase   -0.15% -0.57% -1.11% -0.45% -0.34% -0.81% -0.39% -0.68% -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 8 12 9 4 10 5 2
2015 Contract Condition           Yes   Yes Yes Yes    
Action           Yes   Yes Yes No    
High 124~185 127~225 125~245 126~070 129~300 129~310 128~130 129~190 127~280 128~085 127~200 129~285
Low 122~155 123~135 124~085 124~155 125~210 126~040 125~205 127~090 125~130 124~145 125~050 126~175
Close/Last 123~135 125~150 125~200 125~210 129~300 127~120 128~130 127~280 127~220 126~055 127~140 127~205

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