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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, 2016
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 38 38 38 38 38 39 39 39
Closed Higher   17 15 12 18 17 25 22 25 21 20 28
Exceeded High   11 10 8 17 17 18 21 22 18 16 17
Scenario Percentage   65% 67% 67% 94% 100% 72% 95% 88% 86% 80% 61%
Avg Max Increase   3.22% 3.85% 7.11% 5.82% 4.18% 4.89% 5.12% 4.93% 3.95% 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% -0.71% -1.19% -0.89% -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
2015 Contract Condition               Yes Yes Yes    
Action               Yes No 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 38 38 38 38 38 39 39 39
Closed Lower   15 17 19 19 21 13 16 13 18 19 11
Penetrated Low   11 15 14 17 13 8 13 10 10 13 6
Scenario Percentage   73% 88% 74% 89% 62% 62% 81% 77% 56% 68% 55%
Avg Max Decline   5.02% 3.14% 4.42% 4.41% 4.00% 4.47% 4.22% 5.71% 5.01% 2.95% 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 15 16 17 20 13 11 10
Avg Max Increase   -0.65% -1.53% -1.32% -0.41% -0.85% -1.11% -2.00% -1.33% -1.42% -1.09% -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 8 3
2015 Contract Condition         Yes Yes Yes       Yes Yes
Action         Yes Yes No       Yes Not Yet
High       162~220 163~120 155~040 153~300 155~040 161~170 158~050 160~200 157~000
Low       159~270 157~030 150~020 145~300 146~210 153~210 151~250 155~210 151~120
Close/Last       161~150 157~030 153~300 149~070 154~140 154~200 157~110 156~140 155~130

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