MRCI's ScenarioSM Study

ScenarioSM Study for December 30-Year T-Bonds(CBOT) as of Jan 01, 2018
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	40	40	40	40	40	41	41	41
Closed Higher		17	15	12	19	19	26	23	26	21	20	29
Exceeded High		11	10	8	18	19	19	21	23	18	16	18
Scenario Percentage		65%	67%	67%	95%	100%	73%	91%	88%	86%	80%	62%
Avg Max Increase		3.22%	3.85%	7.11%	5.65%	4.28%	4.78%	5.12%	4.77%	3.95%	4.54%	2.86%
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	17	16	16	15	11	12
Avg Max Decline		-0.31%	-1.07%	-0.83%	-0.87%	-0.65%	-1.09%	-0.71%	-1.17%	-0.89%	-0.98%	-0.66%
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	2
2017 Contract Condition					Yes	Yes			Yes			Yes
Action					Yes	Yes			Yes			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	40	40	40	40	40	41	41	41
Closed Lower		15	17	19	20	21	14	17	14	20	21	12
Penetrated Low		11	15	14	17	13	9	13	11	12	13	7
Scenario Percentage		73%	88%	74%	85%	62%	64%	76%	79%	60%	62%	58%
Avg Max Decline		5.02%	3.14%	4.42%	4.41%	4.00%	4.13%	4.22%	5.65%	5.14%	3.34%	2.83%
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	15	17	21	15	11	10
Avg Max Increase		-0.65%	-1.53%	-1.32%	-0.41%	-0.85%	-1.00%	-2.00%	-1.27%	-1.29%	-1.07%	-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	7	8	3
2017 Contract Condition							Yes	Yes		Yes	Yes
Action							Yes	No		Yes	Not Yet
High				150~080	153~290	153~030	156~010	153~210	156~280	158~090	154~050	154~270
Low				149~100	150~080	148~190	152~130	150~110	151~000	152~010	150~100	151~310
Close/Last				149~200	151~250	153~030	152~160	151~230	156~030	152~260	152~150	152~270