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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, 2019
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 40 40 41 41 41 41 41 41
Closed Higher   12 12 23 22 25 21 20 29 22 23 21
Exceeded High   11 12 16 19 24 18 17 24 19 13 14
Scenario Percentage   92% 100% 70% 86% 96% 86% 85% 83% 86% 57% 67%
Avg Max Increase   6.18% 4.61% 4.15% 5.34% 4.46% 3.67% 4.70% 4.07% 4.08% 3.28% 2.17%
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 16 17 14 15 18 11 11
Avg Max Decline   -0.66% -0.28% -1.21% -0.53% -1.20% -1.23% -0.93% -1.35% -1.66% -0.80% -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 10 6 7 8 5 5
2018 Contract Condition           Yes     Yes Yes    
Action           Yes     Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   29 31 32 40 40 41 41 41 41 41 41
Closed Lower   17 19 9 18 15 20 21 12 19 18 20
Penetrated Low   15 11 6 13 12 11 14 8 12 14 14
Scenario Percentage   88% 58% 67% 72% 80% 55% 67% 67% 63% 78% 70%
Avg Max Decline   4.02% 3.58% 4.59% 4.18% 5.35% 5.34% 3.52% 3.27% 5.55% 4.47% 2.29%
Max Decline   9.46% 6.94% 11.82% 11.02% 12.39% 11.21% 8.80% 6.78% 23.56% 15.67% 4.98%
Avg Days To Max Decline   13 14 13 17 21 15 15 16 19 14 11
Avg Max Increase   -0.44% -0.74% -0.74% -1.91% -1.17% -1.35% -1.40% -1.18% -0.52% -0.70% -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 8 7 10 10 8 7 4
2018 Contract Condition         Yes   Yes Yes     Yes Yes
Action         No   Yes No     Yes Not Yet
High       155~090 152~250 155~110 156~140 152~290 153~240 154~180 152~290 148~020
Low       151~250 149~220 151~240 150~290 149~050 150~280 150~140 147~030 142~140
Close/Last       151~250 151~000 155~110 151~210 151~100 151~230 153~000 147~260 144~140

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