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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 Jun 08, 2020
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 42 42 42 42 42 43 43 43
Closed Higher   17 15 12 19 21 27 24 28 21 20 30
Exceeded High   11 10 8 18 21 20 22 23 18 16 19
Scenario Percentage   65% 67% 67% 95% 100% 74% 92% 82% 86% 80% 63%
Avg Max Increase   3.22% 3.85% 7.11% 5.65% 4.01% 4.93% 5.24% 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 17 18 16 16 15 11 12
Avg Max Decline   -0.31% -1.07% -0.83% -0.87% -0.69% -1.12% -0.70% -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 7 9 3 7 6 6 2
2019 Contract Condition           Yes Yes Yes Yes      
Action           Yes 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 42 42 42 42 42 43 43 43
Closed Lower   15 17 19 22 21 15 18 14 22 23 13
Penetrated Low   11 15 14 18 13 10 14 11 14 14 7
Scenario Percentage   73% 88% 74% 82% 62% 67% 78% 79% 64% 61% 54%
Avg Max Decline   5.02% 3.14% 4.42% 4.30% 4.00% 3.94% 4.05% 5.65% 4.89% 3.35% 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 14 11 10
Avg Max Increase   -0.65% -1.53% -1.32% -0.38% -0.85% -0.99% -2.00% -1.27% -1.25% -1.01% -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 7 3
2019 Contract Condition         Yes         Yes Yes Yes
Action         No         Yes Yes Not Yet
High       148~210 146~300 152~300 155~190 156~050 166~250 166~230 165~070 161~220
Low       145~060 144~250 145~170 152~200 152~040 154~090 157~170 158~050 155~260
Close/Last       148~080 146~010 152~300 154~250 154~270 165~080 162~100 161~120 159~240

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