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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 Jul 11, 2025
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   27 29 30 45 45 45 45 45 45 45 45
Closed Higher   12 11 22 26 27 23 21 32 24 26 23
Exceeded High   11 11 16 23 24 18 18 28 20 14 16
Scenario Percentage   92% 100% 73% 88% 89% 78% 86% 88% 83% 54% 70%
Avg Max Increase   6.18% 4.78% 4.15% 4.91% 4.56% 3.67% 4.61% 4.16% 3.97% 4.65% 2.76%
Max Increase   13.80% 8.37% 9.07% 16.90% 16.60% 11.41% 13.16% 11.27% 13.84% 18.13% 12.73%
Avg Days To Max Increase   15 16 18 14 17 17 13 14 17 11 10
Avg Max Decline   -0.66% -0.27% -1.21% -0.29% -1.21% -1.23% -0.95% -1.28% -1.59% -0.91% -0.69%
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 7 7 8 6 4
2025 Contract Condition         Yes Yes Yes   Yes   Yes Yes
Action         Yes Yes No   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   27 29 30 45 45 45 45 45 45 45 45
Closed Lower   15 18 8 19 18 22 24 13 21 19 22
Penetrated Low   13 10 5 14 15 13 14 8 14 15 17
Scenario Percentage   87% 56% 63% 74% 83% 59% 58% 62% 67% 79% 77%
Avg Max Decline   4.41% 3.77% 5.34% 4.43% 5.53% 4.88% 3.77% 3.27% 4.20% 4.13% 2.42%
Max Decline   9.46% 6.94% 11.82% 11.02% 13.51% 9.97% 8.80% 6.78% 8.93% 8.92% 4.98%
Avg Days To Max Decline   13 15 13 17 21 16 14 16 18 14 11
Avg Max Increase   -0.47% -0.70% -0.85% -1.75% -1.01% -1.50% -1.40% -1.18% -0.86% -0.92% -0.63%
Max Increase   -1.90% -2.97% -1.80% -5.09% -4.66% -5.57% -4.14% -3.82% -6.08% -2.91% -2.24%
Avg Days to Max Increase   7 4 6 9 8 7 11 10 6 9 4
2025 Contract Condition               Yes   Yes    
Action               Yes   Yes    
High       120~180 120~310 126~240 127~240 126~020 119~210 120~180 115~010 118~260
Low       118~160 116~080 122~060 122~250 116~310 115~130 113~020 110~190 113~040
Close/Last       118~160 120~310 123~090 124~180 118~060 119~160 113~270 113~290 118~100

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