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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 Mar 27, 2020
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 42 42 42 42 42 42 42 42
Closed Higher   15 25 18 24 21 17 19 21 27 23 27
Exceeded High   14 21 17 13 15 12 18 21 20 20 20
Scenario Percentage   93% 84% 94% 54% 71% 71% 95% 100% 74% 87% 74%
Avg Max Increase   4.94% 3.77% 3.98% 3.52% 3.40% 6.00% 5.81% 4.10% 4.92% 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 16 18 17 15 17 18 11 10
Avg Max Decline   -0.65% -1.26% -1.56% -0.76% -1.71% -0.94% -0.86% -0.81% -1.17% -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 9 12 5 7 6 9 4 2
2019 Contract Condition         Yes   Yes   Yes Yes   Yes
Action         Yes   Yes   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 42 42 42 42 42 42 42 42
Closed Lower   14 6 14 18 21 25 22 21 15 18 15
Penetrated Low   9 2 10 14 18 17 18 13 9 13 9
Scenario Percentage   64% 33% 71% 78% 86% 68% 82% 62% 60% 72% 60%
Avg Max Decline   2.16% 3.65% 3.87% 4.58% 3.26% 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 19 18 15 15 13 13 12
Avg Max Increase   -1.27% -2.38% -1.07% -0.62% -1.36% -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 10 11 4 4 6 10 3
2019 Contract Condition           Yes   Yes        
Action           Yes   No        
High       145~080 147~300 146~080 149~240 147~310 154~000 156~170 157~020 167~180
Low       143~080 143~300 144~150 143~260 145~110 146~030 152~270 152~280 154~310
Close/Last       145~080 146~020 144~150 149~010 146~260 153~230 155~190 155~190 166~020

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