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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 Dec 06, 2024
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   27 29 31 45 45 45 45 45 45 45 45
Closed Higher   15 23 18 25 22 19 22 22 29 26 27
Exceeded High   14 21 17 14 16 13 19 22 23 22 20
Scenario Percentage   93% 91% 94% 56% 73% 68% 86% 100% 79% 85% 74%
Avg Max Increase   4.94% 3.77% 3.98% 4.53% 3.96% 5.73% 5.75% 4.32% 4.88% 4.44% 2.47%
Max Increase   12.38% 11.29% 14.46% 17.74% 12.45% 22.19% 13.83% 9.25% 12.19% 11.76% 5.55%
Avg Days To Max Increase   16 15 17 15 17 16 16 18 17 11 11
Avg Max Decline   -0.65% -1.26% -1.56% -0.82% -1.61% -0.90% -0.88% -0.79% -1.16% -0.66% -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 7 8 3 2
2024 Contract Condition             Yes   Yes Yes Yes Yes
Action             No   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 Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   27 29 31 45 45 45 45 45 45 45 45
Closed Lower   12 6 12 20 23 26 22 23 16 18 18
Penetrated Low   7 2 8 16 20 17 17 15 9 13 9
Scenario Percentage   58% 33% 67% 80% 87% 65% 77% 65% 56% 72% 50%
Avg Max Decline   2.37% 3.65% 4.22% 5.14% 3.91% 4.42% 4.74% 4.28% 4.82% 3.65% 3.12%
Max Decline   3.81% 4.26% 7.43% 15.40% 11.89% 11.64% 9.68% 6.81% 11.50% 8.04% 5.94%
Avg Days To Max Decline   11 24 23 17 17 17 15 14 14 14 12
Avg Max Increase   -1.07% -2.38% -1.15% -0.71% -1.31% -1.11% -0.71% -0.84% -0.98% -1.83% -0.44%
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   12 22 11 9 8 10 5 3 6 10 3
2024 Contract Condition         Yes Yes   Yes        
Action         Yes Yes   No        
High       126~030 124~100 124~060 122~070 120~140 118~270 120~240 121~260 126~270
Low       123~310 119~110 117~160 118~060 112~290 113~250 116~070 115~300 121~100
Close/Last       125~060 122~160 119~100 120~150 113~270 116~020 118~100 120~250 122~310

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