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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, 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   29 31 32 37 37 38 38 38 38 38 38
Closed Higher   12 12 23 20 24 20 20 28 21 21 19
Exceeded High   11 12 16 18 23 17 17 23 19 12 14
Scenario Percentage   92% 100% 70% 90% 96% 85% 85% 82% 90% 57% 74%
Avg Max Increase   6.18% 4.61% 4.15% 5.47% 4.63% 3.77% 4.70% 4.17% 4.08% 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% -1.23% -1.29% -0.93% -1.41% -1.66% -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
2015 Contract Condition           Yes   Yes Yes Yes Yes  
Action           Yes   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 Feb Feb Feb Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   29 31 32 37 37 38 38 38 38 38 38
Closed Lower   17 19 9 17 13 18 18 10 17 17 19
Penetrated Low   15 11 6 13 10 9 12 7 12 13 14
Scenario Percentage   88% 58% 67% 76% 77% 50% 67% 70% 71% 76% 74%
Avg Max Decline   4.02% 3.58% 4.59% 4.18% 5.70% 5.23% 3.11% 3.34% 5.55% 4.53% 2.27%
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% -0.53%
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
2015 Contract Condition         Yes   Yes         Yes
Action         No   No         Yes
High       135~240 136~170 139~050 137~250 146~160 142~260 146~190 151~280 151~230
Low       133~300 133~170 135~180 134~000 137~000 138~280 140~260 143~310 143~250
Close/Last       135~240 135~010 138~300 136~120 139~200 142~200 144~180 151~090 147~010

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