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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, 2018
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 32 34 36 36 36 36 36 36
Closed Higher   12 8 9 16 15 22 24 26 27 21 19
Exceeded High   9 7 5 14 14 17 22 24 24 17 15
Scenario Percentage   75% 88% 56% 88% 93% 77% 92% 92% 89% 81% 79%
Avg Max Increase   2.79% 1.82% 4.50% 3.67% 2.92% 3.52% 3.43% 3.22% 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 16 14 16 7 10
Avg Max Decline   -0.73% -0.70% -0.30% -0.35% -0.25% -0.62% -0.59% -0.74% -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 6 9 10 5 8 9 6 2
2017 Contract Condition         Yes Yes   Yes Yes      
Action         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 Feb Feb Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   16 20 27 32 34 36 36 36 36 36 36
Closed Lower   4 12 18 16 19 14 12 10 9 15 17
Penetrated Low   4 9 13 13 11 8 8 6 6 9 11
Scenario Percentage   100% 75% 72% 81% 58% 57% 67% 60% 67% 60% 65%
Avg Max Decline   1.35% 2.63% 2.88% 3.50% 2.59% 2.66% 2.22% 2.40% 2.39% 1.89% 1.65%
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 11 13 18 16 11 12
Avg Max Increase   -0.60% -0.22% -0.49% -0.05% -0.41% -0.56% -0.76% -0.74% -0.85% -0.47% -0.47%
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 9 6 12 6 6 4
2017 Contract Condition             Yes     Yes Yes Yes
Action             Yes     Yes Yes Yes
High       124~050 126~065 125~315 126~245 126~020 127~105 127~285 125~255 125~150
Low       123~265 124~135 124~050 125~045 124~140 125~105 125~020 124~060 124~060
Close/Last       124~015 125~125 125~315 125~060 125~175 126~315 125~100 124~300 124~100

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