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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 Jun 23, 2023
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 32 45 45 45 45 45 45 45 45
Closed Higher   16 19 18 21 31 22 26 22 19 22 22
Exceeded High   15 18 15 19 26 19 15 16 13 19 19
Scenario Percentage   94% 95% 83% 90% 84% 86% 58% 73% 68% 86% 86%
Avg Max Increase   4.21% 4.53% 3.97% 4.54% 4.32% 4.08% 4.37% 4.04% 4.16% 5.37% 3.12%
Max Increase   12.20% 15.55% 10.84% 12.87% 11.27% 13.95% 17.89% 12.59% 11.08% 13.58% 9.77%
Avg Days To Max Increase   13 18 18 14 15 17 14 17 15 12 13
Avg Max Decline   -0.50% -1.02% -1.08% -0.76% -1.23% -1.55% -0.85% -1.63% -0.96% -0.84% -0.44%
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 7 8 8 7 11 5 7 2
2022 Contract Condition         Yes Yes            
Action         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 32 45 45 45 45 45 45 45 45
Closed Lower   14 11 14 24 14 22 19 23 26 23 23
Penetrated Low   10 10 7 15 10 16 15 20 16 18 13
Scenario Percentage   71% 91% 50% 63% 71% 73% 79% 87% 62% 78% 57%
Avg Max Decline   4.54% 5.05% 5.07% 3.37% 3.27% 5.06% 5.22% 3.79% 4.51% 4.49% 3.47%
Max Decline   10.76% 12.31% 10.61% 8.81% 6.95% 23.44% 15.50% 11.65% 11.51% 10.02% 5.92%
Avg Days To Max Decline   18 22 16 13 13 18 17 16 16 13 10
Avg Max Increase   -2.05% -1.31% -1.76% -1.21% -0.94% -0.90% -0.85% -1.34% -1.12% -0.70% -0.50%
Max Increase   -5.02% -4.37% -5.34% -4.51% -3.44% -6.69% -2.92% -7.47% -5.30% -2.80% -1.64%
Avg Days to Max Increase   10 9 9 12 7 7 9 7 11 5 2
2022 Contract Condition             Yes Yes Yes Yes Yes Yes
Action             Yes Yes Yes Yes Yes Yes
High       163~110 159~130 162~260 165~270 162~010 158~150 160~120 150~020 142~220
Low       157~180 155~300 157~260 160~300 154~260 151~290 146~100 138~140 134~300
Close/Last       157~220 159~090 162~160 162~140 157~140 156~220 150~020 140~220 140~140

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