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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, 2015
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 37 37 37 37 37 38 38 38
Closed Higher   17 15 12 18 17 25 21 24 20 20 28
Exceeded High   11 10 8 17 17 18 20 22 17 16 17
Scenario Percentage   65% 67% 67% 94% 100% 72% 95% 92% 85% 80% 61%
Avg Max Increase   3.22% 3.85% 7.11% 5.82% 4.18% 4.89% 5.15% 4.93% 4.06% 4.54% 2.94%
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 16 19 18 16 17 15 11 12
Avg Max Decline   -0.31% -1.07% -0.83% -0.80% -0.72% -1.19% -0.72% -1.19% -0.93% -0.98% -0.70%
Max Decline   -1.75% -2.31% -3.17% -2.49% -2.20% -4.65% -3.58% -3.35% -2.56% -3.07% -1.52%
Avg Days to Max Decline   4 11 5 8 9 10 3 7 6 6 3
2014 Contract Condition         Yes Yes   Yes Yes   Yes Yes
Action         Yes Yes   Yes Yes   Not Yet 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 Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   32 32 32 37 37 37 37 37 38 38 38
Closed Lower   15 17 19 18 20 12 16 13 18 18 10
Penetrated Low   11 15 14 16 12 8 13 10 10 12 6
Scenario Percentage   73% 88% 74% 89% 60% 67% 81% 77% 56% 67% 60%
Avg Max Decline   5.02% 3.14% 4.42% 4.24% 3.90% 4.47% 4.22% 5.71% 5.01% 2.93% 2.96%
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 16 17 20 13 12 10
Avg Max Increase   -0.65% -1.53% -1.32% -0.51% -0.92% -1.11% -2.00% -1.33% -1.42% -1.15% -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 7 10 9 7 9 3
2014 Contract Condition             Yes     Yes    
Action             Yes     No    
High       133~110 134~030 136~250 136~080 137~190 140~160 140~050 148~000 144~090
Low       130~260 131~030 132~120 133~200 133~080 135~130 135~130 137~270 140~080
Close/Last       132~100 133~310 136~080 135~240 135~310 140~030 137~290 141~030 144~020

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