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