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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March 30-Year T-Bonds(CBOT) as of Jan 01, 2015
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 Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   29 31 32 36 36 37 37 37 37 37 37
Closed Higher   12 12 23 20 23 20 19 27 20 20 19
Exceeded High   11 12 16 18 22 17 16 22 18 12 14
Scenario Percentage   92% 100% 70% 90% 96% 85% 84% 81% 90% 60% 74%
Avg Max Increase   6.18% 4.61% 4.15% 5.47% 4.59% 3.77% 4.68% 4.06% 4.03% 3.04% 2.15%
Max Increase   13.80% 8.37% 9.07% 16.90% 16.60% 11.41% 13.16% 11.27% 13.84% 6.68% 4.94%
Avg Days To Max Increase   15 17 18 15 17 18 14 15 18 11 11
Avg Max Decline   -0.66% -0.28% -1.21% -0.55% -1.12% -1.29% -0.96% -1.42% -1.73% -0.83% -0.72%
Max Decline   -2.05% -1.47% -4.77% -3.21% -4.22% -3.78% -3.07% -6.37% -5.31% -2.45% -2.32%
Avg Days to Max Decline   9 2 12 4 7 11 6 7 8 6 5
2014 Contract Condition             Yes Yes     Yes Yes
Action             Yes No     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 Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   29 31 32 36 36 37 37 37 37 37 37
Closed Lower   17 19 9 16 13 17 18 10 17 17 18
Penetrated Low   15 11 6 13 10 9 12 7 12 13 13
Scenario Percentage   88% 58% 67% 81% 77% 53% 67% 70% 71% 76% 72%
Avg Max Decline   4.02% 3.58% 4.59% 4.18% 5.70% 5.23% 3.11% 3.34% 5.55% 4.53% 2.23%
Max Decline   9.46% 6.94% 11.82% 11.02% 12.39% 11.21% 8.44% 6.78% 23.56% 15.67% 4.98%
Avg Days To Max Decline   13 14 13 17 21 13 15 16 19 13 11
Avg Max Increase   -0.44% -0.74% -0.74% -1.91% -1.30% -1.53% -1.49% -1.31% -0.52% -0.75% -0.56%
Max Increase   -1.90% -2.97% -1.80% -5.09% -4.66% -5.57% -4.14% -3.82% -2.47% -2.91% -1.77%
Avg Days to Max Increase   6 5 5 9 9 7 11 11 8 8 4
2014 Contract Condition         Yes Yes     Yes Yes    
Action         Yes Yes     Yes No    
High       136~180 134~170 132~310 132~120 134~080 133~120 131~120 133~310 135~030
Low       132~230 131~060 128~280 128~110 130~110 128~310 127~230 127~270 132~000
Close/Last       134~120 132~140 131~270 131~290 133~120 130~240 128~100 133~190 134~190

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