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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 Dec 30, 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   17 20 27 29 33 33 34 34 35 35 35
Closed Higher   10 14 15 21 16 11 16 15 21 22 25
Exceeded High   7 11 13 16 15 7 15 14 16 20 18
Scenario Percentage   70% 79% 87% 76% 94% 64% 94% 93% 76% 91% 72%
Avg Max Increase   2.97% 2.91% 3.14% 2.29% 1.51% 3.73% 3.85% 3.13% 3.54% 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 15 19 15 20 17 13 11
Avg Max Decline   -0.14% -0.54% -0.79% -0.51% -0.88% -0.46% -0.44% -0.39% -0.71% -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 4 5 7 10 6 3
2016 Contract Condition         Yes Yes       Yes Yes  
Action         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   17 20 27 29 33 33 34 34 35 35 35
Closed Lower   7 6 12 8 17 21 17 19 14 13 10
Penetrated Low   4 3 8 8 14 16 14 11 7 8 4
Scenario Percentage   57% 50% 67% 100% 82% 76% 82% 58% 50% 62% 40%
Avg Max Decline   1.67% 1.53% 1.99% 1.90% 2.43% 2.71% 3.14% 2.49% 2.78% 2.17% 1.69%
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   15 3 20 13 17 18 16 15 10 9 8
Avg Max Increase   -0.04% -0.57% -1.11% -0.45% -0.34% -0.81% -0.39% -0.68% -0.69% -0.48% -0.29%
Max Increase   -1.44% -0.88% -3.52% -1.37% -1.18% -3.65% -1.64% -1.83% -1.58% -1.10% -0.46%
Avg Days to Max Increase   7 6 18 5 8 12 9 4 10 5 3
2016 Contract Condition   Yes Yes Yes     Yes Yes Yes     Yes
Action   Yes No No     No No No     Yes
High 126~220 127~175 125~050 125~290 128~120 130~300 130~090 131~075 131~045 134~070 134~075 133~040
Low 124~105 125~135 123~215 123~275 124~260 127~310 127~310 128~285 129~055 129~155 131~195 131~095
Close/Last 126~195 125~165 124~240 124~210 128~120 130~105 130~090 129~295 129~220 132~315 133~015 131~280

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