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