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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 Oct 20, 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 41 41 42 42 42 42 42 42
Closed Higher   12 12 23 22 26 21 20 30 23 24 21
Exceeded High   11 12 16 19 24 18 17 25 20 13 14
Scenario Percentage   92% 100% 70% 86% 92% 86% 85% 83% 87% 54% 67%
Avg Max Increase   6.18% 4.61% 4.15% 5.34% 4.46% 3.67% 4.70% 4.16% 3.97% 3.27% 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 16 17 14 14 17 11 11
Avg Max Decline   -0.66% -0.28% -1.21% -0.53% -1.20% -1.23% -0.93% -1.31% -1.59% -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 6 8 5 5
2019 Contract Condition           Yes     Yes Yes Yes  
Action           No     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 41 41 42 42 42 42 42 42
Closed Lower   17 19 9 19 15 21 22 12 19 18 21
Penetrated Low   15 11 6 14 12 12 14 8 12 14 15
Scenario Percentage   88% 58% 67% 74% 80% 57% 64% 67% 63% 78% 71%
Avg Max Decline   4.02% 3.58% 4.59% 4.00% 5.35% 5.13% 3.52% 3.27% 5.55% 4.47% 2.16%
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 10
Avg Max Increase   -0.44% -0.74% -0.74% -1.91% -1.17% -1.25% -1.40% -1.18% -0.52% -0.70% -0.50%
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 10 8 7 10 10 8 7 4
2019 Contract Condition         Yes   Yes Yes       Yes
Action         Yes   Yes No       Yes
High       143~260 144~070 144~060 142~290 140~000 140~110 146~090 148~270 147~050
Low       142~250 141~050 140~240 139~020 135~300 136~050 139~140 144~090 144~280
Close/Last       143~170 141~160 143~160 139~270 137~160 139~290 146~000 146~220 145~040

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