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