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