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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 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 Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   30 30 33 42 42 42 42 42 42 42 42
Closed Higher   16 19 18 20 29 22 24 21 17 19 21
Exceeded High   15 18 15 18 24 19 14 15 12 18 18
Scenario Percentage   94% 95% 83% 90% 83% 86% 58% 71% 71% 95% 86%
Avg Max Increase   4.21% 4.53% 3.97% 4.56% 4.35% 4.08% 3.40% 3.47% 4.30% 5.45% 3.10%
Max Increase   12.20% 15.55% 10.84% 12.87% 11.27% 13.95% 6.72% 12.22% 11.08% 13.58% 9.77%
Avg Days To Max Increase   13 18 18 14 15 17 15 17 16 11 12
Avg Max Decline   -0.50% -1.02% -1.08% -0.75% -1.25% -1.55% -0.78% -1.68% -1.00% -0.83% -0.43%
Max Decline   -3.24% -3.05% -3.17% -2.94% -5.97% -5.50% -2.42% -3.85% -3.13% -2.41% -1.47%
Avg Days to Max Decline   5 7 10 6 7 8 7 12 5 7 2
2019 Contract Condition           Yes Yes Yes   Yes   Yes
Action           Yes Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   30 30 33 42 42 42 42 42 42 42 42
Closed Lower   14 11 15 22 13 19 18 21 25 23 21
Penetrated Low   10 10 8 14 9 13 14 18 16 18 11
Scenario Percentage   71% 91% 53% 64% 69% 68% 78% 86% 64% 78% 52%
Avg Max Decline   4.54% 5.05% 4.74% 3.35% 3.33% 5.17% 4.61% 3.31% 3.98% 4.21% 3.18%
Max Decline   10.76% 12.31% 10.61% 8.81% 6.95% 23.44% 15.50% 7.71% 11.51% 10.02% 5.70%
Avg Days To Max Decline   18 22 14 14 14 18 16 17 17 14 10
Avg Max Increase   -2.05% -1.31% -1.53% -1.31% -0.96% -0.55% -0.74% -1.37% -1.18% -0.64% -0.54%
Max Increase   -5.02% -4.37% -5.34% -4.51% -3.44% -2.49% -2.92% -7.47% -5.30% -2.80% -1.64%
Avg Days to Max Increase   10 9 8 12 8 6 7 9 12 4 2
2019 Contract Condition         Yes       Yes   Yes  
Action         No       Yes   Not Yet  
High       139~130 139~080 139~100 145~170 148~030 146~170 150~210 149~210 154~210
Low       138~150 135~250 135~300 139~300 143~230 144~060 143~160 145~310 146~210
Close/Last       139~080 136~290 139~100 145~080 146~020 144~150 149~210 147~150 154~120

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