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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 30-Year T-Bonds(CBOT) as of Jan 01, 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 Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   29 31 33 41 41 41 41 41 41 41 41
Closed Higher   15 25 18 23 21 16 19 20 26 23 26
Exceeded High   14 21 17 12 15 11 18 20 19 20 20
Scenario Percentage   93% 84% 94% 52% 71% 69% 95% 100% 73% 87% 77%
Avg Max Increase   4.94% 3.77% 3.98% 3.60% 3.40% 6.24% 5.81% 4.20% 4.78% 4.67% 2.34%
Max Increase   12.38% 11.29% 14.46% 6.69% 12.15% 22.19% 13.83% 9.25% 12.19% 11.76% 5.55%
Avg Days To Max Increase   16 15 17 15 18 15 15 18 17 11 10
Avg Max Decline   -0.65% -1.26% -1.56% -0.70% -1.71% -0.80% -0.86% -0.82% -1.14% -0.67% -0.70%
Max Decline   -2.49% -5.56% -5.39% -2.26% -4.55% -3.15% -2.47% -2.27% -4.58% -3.52% -1.95%
Avg Days to Max Decline   5 8 8 8 12 4 7 6 9 4 2
2018 Contract Condition             Yes   Yes     Yes
Action             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 Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   29 31 33 41 41 41 41 41 41 41 41
Closed Lower   14 6 14 18 20 25 21 21 15 18 15
Penetrated Low   9 2 10 14 17 17 18 13 9 13 9
Scenario Percentage   64% 33% 71% 78% 85% 68% 86% 62% 60% 72% 60%
Avg Max Decline   2.16% 3.65% 3.87% 4.58% 3.42% 3.93% 4.28% 3.97% 4.11% 3.41% 2.81%
Max Decline   3.81% 4.26% 7.43% 15.40% 7.67% 11.64% 9.68% 6.81% 11.50% 8.04% 5.94%
Avg Days To Max Decline   14 24 22 17 20 18 15 15 13 13 12
Avg Max Increase   -1.27% -2.38% -1.07% -0.62% -1.46% -1.17% -0.62% -0.95% -0.93% -1.91% -0.50%
Max Increase   -4.32% -3.09% -3.84% -2.67% -6.86% -5.19% -2.78% -3.05% -3.63% -5.12% -1.18%
Avg Days to Max Increase   14 22 12 12 11 11 4 4 6 10 3
2018 Contract Condition         Yes Yes   Yes   Yes Yes  
Action         Yes No   Yes   Yes Yes  
High       152~070 150~110 145~100 145~220 146~050 145~280 145~160 146~110 145~290
Low       148~170 145~110 140~220 142~030 140~230 139~110 142~010 142~120 141~270
Close/Last       150~290 145~250 142~140 145~210 143~000 145~040 145~000 142~310 144~310

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