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