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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, 2019
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 41 41 41 41 41 42 42 42
Closed Higher   17 15 12 19 20 26 23 27 21 20 30
Exceeded High   11 10 8 18 20 19 21 23 18 16 19
Scenario Percentage   65% 67% 67% 95% 100% 73% 91% 85% 86% 80% 63%
Avg Max Increase   3.22% 3.85% 7.11% 5.65% 4.10% 4.78% 5.12% 4.77% 3.95% 4.54% 2.87%
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 16 15 11 12
Avg Max Decline   -0.31% -1.07% -0.83% -0.87% -0.71% -1.09% -0.71% -1.17% -0.89% -0.98% -0.64%
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
2018 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 41 41 41 41 41 42 42 42
Closed Lower   15 17 19 21 21 15 18 14 21 22 12
Penetrated Low   11 15 14 18 13 10 14 11 13 13 7
Scenario Percentage   73% 88% 74% 86% 62% 67% 78% 79% 62% 59% 58%
Avg Max Decline   5.02% 3.14% 4.42% 4.30% 4.00% 3.94% 4.05% 5.65% 4.96% 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 13 17 21 15 11 10
Avg Max Increase   -0.65% -1.53% -1.32% -0.38% -0.85% -0.99% -2.00% -1.27% -1.20% -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 6 11 9 6 8 3
2018 Contract Condition         Yes   Yes Yes   Yes Yes  
Action         Yes   Yes Yes   Yes Not Yet  
High       144~300 145~040 144~220 144~220 145~160 145~060 144~060 140~230 140~310
Low       142~160 140~060 138~280 141~220 141~190 141~030 139~170 136~160 136~240
Close/Last       144~300 142~090 144~130 144~080 142~070 144~070 140~160 138~040 140~170

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