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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 Dec 30, 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 39 39 39 39 39 40 40 40
Closed Higher   17 15 12 18 18 26 23 25 21 20 28
Exceeded High   11 10 8 17 18 19 21 22 18 16 17
Scenario Percentage   65% 67% 67% 94% 100% 73% 91% 88% 86% 80% 61%
Avg Max Increase   3.22% 3.85% 7.11% 5.82% 4.41% 4.78% 5.12% 4.93% 3.95% 4.54% 2.92%
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 18 17 16 17 15 11 12
Avg Max Decline   -0.31% -1.07% -0.83% -0.80% -0.67% -1.09% -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 8 9 3 7 6 6 3
2016 Contract Condition           Yes Yes Yes        
Action           Yes Yes No        
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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 39 39 39 39 39 40 40 40
Closed Lower   15 17 19 20 21 13 16 14 19 20 12
Penetrated Low   11 15 14 17 13 8 13 11 11 14 7
Scenario Percentage   73% 88% 74% 85% 62% 62% 81% 79% 58% 70% 58%
Avg Max Decline   5.02% 3.14% 4.42% 4.41% 4.00% 4.47% 4.22% 5.65% 5.46% 3.36% 2.92%
Max Decline   15.24% 7.81% 11.60% 9.68% 6.80% 11.69% 10.89% 12.39% 11.46% 8.70% 6.48%
Avg Days To Max Decline   17 21 20 15 15 16 17 21 14 12 11
Avg Max Increase   -0.65% -1.53% -1.32% -0.41% -0.85% -1.11% -2.00% -1.27% -1.33% -1.11% -0.66%
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 6 8 3
2016 Contract Condition         Yes       Yes Yes Yes Yes
Action         No       Yes Yes Yes Yes
High       162~120 164~140 164~030 172~060 175~190 173~020 171~160 168~250 164~310
Low       160~180 158~200 159~180 162~090 168~190 168~240 164~130 161~210 151~160
Close/Last       161~290 160~220 162~020 170~280 172~310 170~120 168~050 162~230 152~210

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