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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   16 20 27 30 32 34 34 34 34 34 34
Closed Higher   12 8 9 15 14 21 22 25 26 21 19
Exceeded High   9 7 5 13 13 16 21 23 24 17 15
Scenario Percentage   75% 88% 56% 87% 93% 76% 95% 92% 92% 81% 79%
Avg Max Increase   2.79% 1.82% 4.50% 3.87% 3.10% 3.68% 3.50% 3.33% 2.65% 2.56% 1.69%
Max Increase   12.00% 6.46% 8.72% 10.35% 6.31% 8.15% 10.09% 13.27% 8.27% 6.50% 6.43%
Avg Days To Max Increase   10 15 22 14 20 19 17 14 16 7 10
Avg Max Decline   -0.73% -0.70% -0.30% -0.30% -0.25% -0.67% -0.61% -0.75% -0.63% -0.59% -0.39%
Max Decline   -2.70% -2.30% -0.93% -1.17% -1.03% -2.26% -2.27% -2.14% -1.40% -1.32% -1.15%
Avg Days to Max Decline   8 9 6 5 9 11 6 8 9 6 2
2015 Contract Condition   Yes   Yes       Yes Yes Yes    
Action   Yes   Yes       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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   16 20 27 30 32 34 34 34 34 34 34
Closed Lower   4 12 18 15 18 13 12 9 8 13 15
Penetrated Low   4 9 13 13 11 7 8 5 5 7 9
Scenario Percentage   100% 75% 72% 87% 61% 54% 67% 56% 63% 54% 60%
Avg Max Decline   1.35% 2.63% 2.88% 3.50% 2.59% 2.95% 2.22% 2.62% 2.68% 1.61% 1.84%
Max Decline   2.51% 6.28% 9.03% 6.70% 5.16% 7.37% 5.91% 8.15% 4.65% 2.81% 4.24%
Avg Days To Max Decline   12 17 15 16 14 12 13 16 13 9 11
Avg Max Increase   -0.60% -0.22% -0.49% -0.05% -0.41% -0.64% -0.76% -0.76% -0.94% -0.40% -0.46%
Max Increase   -1.37% -1.12% -1.35% -0.67% -1.39% -1.60% -2.86% -1.65% -3.00% -1.50% -1.13%
Avg Days to Max Increase   6 8 11 9 6 10 6 9 5 6 4
2015 Contract Condition     Yes   Yes Yes Yes       Yes Yes
Action     Yes   Yes Yes No       Yes Not Yet
High 125~180 127~260 128~005 128~000 128~305 127~110 127~050 126~280 129~105 128~295 130~005 127~265
Low 123~265 125~000 125~020 124~185 127~110 125~210 123~305 124~160 125~265 126~165 127~145 125~225
Close/Last 125~000 127~210 126~100 127~280 127~110 127~050 125~095 126~225 127~020 128~235 127~220 127~005

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