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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 May 10, 2021
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 43 43 43 43 43 44 44 44
Closed Higher   17 15 12 20 21 28 25 28 22 20 31
Exceeded High   11 10 8 18 21 21 23 23 18 16 19
Scenario Percentage   65% 67% 67% 90% 100% 75% 92% 82% 82% 80% 61%
Avg Max Increase   3.22% 3.85% 7.11% 5.65% 4.01% 4.80% 5.04% 4.77% 3.95% 4.54% 2.90%
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 17 16 16 15 11 12
Avg Max Decline   -0.31% -1.07% -0.83% -0.87% -0.69% -1.11% -0.69% -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
2020 Contract Condition         Yes   Yes Yes   Yes   Yes
Action         No   Yes Yes   No   Not Yet
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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 43 43 43 43 43 44 44 44
Closed Lower   15 17 19 22 22 15 18 15 22 24 13
Penetrated Low   11 15 14 18 14 10 14 12 14 16 7
Scenario Percentage   73% 88% 74% 82% 64% 67% 78% 80% 64% 67% 54%
Avg Max Decline   5.02% 3.14% 4.42% 4.30% 3.95% 3.94% 4.05% 5.37% 4.89% 3.26% 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 13 17 21 14 11 11
Avg Max Increase   -0.65% -1.53% -1.32% -0.38% -0.76% -0.99% -2.00% -1.29% -1.25% -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 6 11 9 6 7 3
2020 Contract Condition           Yes     Yes   Yes  
Action           Yes     Yes   Yes  
High       179~070 181~020 180~030 178~000 181~060 181~170 178~170 177~000 175~270
Low       165~170 176~060 176~020 171~160 175~300 173~160 174~210 171~220 169~160
Close/Last       177~180 179~170 177~120 177~150 180~210 175~230 176~090 172~150 173~250

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