MRCI's ScenarioSM Study

ScenarioSM Study for December 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	Feb	Feb	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		16	20	27	31	33	35	35	35	35	35	35
Closed Higher		12	8	9	15	14	22	23	25	27	21	19
Exceeded High		9	7	5	13	13	17	21	23	24	17	15
Scenario Percentage		75%	88%	56%	87%	93%	77%	91%	92%	89%	81%	79%
Avg Max Increase		2.79%	1.82%	4.50%	3.87%	3.10%	3.52%	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%	-0.62%	-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	10	6	8	9	6	2
2016 Contract Condition							Yes	Yes		Yes
Action							Yes	No		No

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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	Feb	Feb	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		16	20	27	31	33	35	35	35	35	35	35
Closed Lower		4	12	18	16	19	13	12	10	8	14	16
Penetrated Low		4	9	13	13	11	7	8	6	5	8	10
Scenario Percentage		100%	75%	72%	81%	58%	54%	67%	60%	63%	57%	63%
Avg Max Decline		1.35%	2.63%	2.88%	3.50%	2.59%	2.95%	2.22%	2.40%	2.68%	2.02%	1.82%
Max Decline		2.51%	6.28%	9.03%	6.70%	5.16%	7.37%	5.91%	8.15%	4.65%	4.91%	4.24%
Avg Days To Max Decline		12	17	15	16	14	12	13	18	13	10	12
Avg Max Increase		-0.60%	-0.22%	-0.49%	-0.05%	-0.41%	-0.64%	-0.76%	-0.74%	-0.94%	-0.48%	-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	12	5	6	4
2016 Contract Condition					Yes	Yes			Yes		Yes	Yes
Action					No	No			Yes		Yes	Yes
High				129~145	130~125	130~100	133~060	133~095	132~050	131~235	131~075	131~000
Low				128~175	128~045	128~195	128~295	130~220	130~105	129~260	129~065	124~255
Close/Last				129~145	129~030	129~020	132~015	132~035	130~295	131~040	129~200	125~075