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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 30-Year T-Bonds(CBOT) as of Jan 01, 2014
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 Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   32 32 32 36 36 36 36 36 37 37 37
Closed Higher   17 15 12 17 16 25 20 23 20 19 27
Exceeded High   11 10 8 16 16 18 19 21 17 16 16
Scenario Percentage   65% 67% 67% 94% 100% 72% 95% 91% 85% 84% 59%
Avg Max Increase   3.22% 3.85% 7.11% 6.05% 4.38% 4.89% 5.25% 4.89% 4.06% 4.54% 2.93%
Max Increase   6.77% 11.95% 21.24% 13.90% 8.88% 12.26% 16.06% 17.57% 11.82% 13.48% 11.21%
Avg Days To Max Increase   12 17 17 15 18 18 15 17 15 11 12
Avg Max Decline   -0.31% -1.07% -0.83% -0.78% -0.63% -1.19% -0.74% -1.08% -0.93% -0.98% -0.66%
Max Decline   -1.75% -2.31% -3.17% -2.49% -2.03% -4.65% -3.58% -3.02% -2.56% -3.07% -1.52%
Avg Days to Max Decline   4 11 5 7 7 10 3 7 6 6 3
2013 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 Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   32 32 32 36 36 36 36 36 37 37 37
Closed Lower   15 17 19 18 20 11 16 13 17 18 10
Penetrated Low   11 15 14 16 12 7 13 10 10 11 6
Scenario Percentage   73% 88% 74% 89% 60% 64% 81% 77% 59% 61% 60%
Avg Max Decline   5.02% 3.14% 4.42% 4.24% 3.90% 4.85% 4.22% 5.71% 5.01% 2.87% 2.85%
Max Decline   15.24% 7.81% 11.60% 9.68% 6.80% 11.69% 10.89% 12.39% 11.46% 8.07% 6.48%
Avg Days To Max Decline   17 21 20 15 14 17 17 20 13 11 10
Avg Max Increase   -0.65% -1.53% -1.32% -0.51% -0.92% -1.27% -2.00% -1.33% -1.42% -1.10% -0.74%
Max Increase   -2.26% -6.13% -5.07% -1.95% -3.14% -3.82% -5.17% -5.05% -5.70% -3.56% -1.58%
Avg Days to Max Increase   12 13 12 5 4 8 10 9 7 8 3
2013 Contract Condition           Yes Yes Yes Yes     Yes
Action           Yes Yes Yes Yes     Yes
High       143~200 147~200 147~310 140~200 135~010 133~200 133~250 135~240 134~230
Low       141~200 143~170 139~000 131~270 130~290 128~130 128~120 131~200 130~140
Close/Last       143~170 147~040 139~170 134~120 132~160 131~290 133~120 134~260 132~070

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