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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 Sep 16, 2022
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 44 44 44 44 44 45 45 45
Closed Higher   17 15 12 21 21 29 26 28 22 21 32
Exceeded High   11 10 8 19 21 22 23 23 18 17 20
Scenario Percentage   65% 67% 67% 90% 100% 76% 88% 82% 82% 81% 63%
Avg Max Increase   3.22% 3.85% 7.11% 5.49% 4.01% 4.76% 5.04% 4.77% 3.95% 4.46% 2.82%
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 10 12
Avg Max Decline   -0.31% -1.07% -0.83% -0.88% -0.69% -1.08% -0.69% -1.17% -0.89% -0.99% -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 7 2
2021 Contract Condition         Yes   Yes Yes     Yes Yes
Action         Yes   Yes No     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 44 44 44 44 44 45 45 45
Closed Lower   15 17 19 22 23 15 18 16 23 24 13
Penetrated Low   11 15 14 18 14 10 14 13 15 16 7
Scenario Percentage   73% 88% 74% 82% 61% 67% 78% 81% 65% 67% 54%
Avg Max Decline   5.02% 3.14% 4.42% 4.30% 3.95% 3.94% 4.05% 5.24% 4.66% 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 20 14 11 11
Avg Max Increase   -0.65% -1.53% -1.32% -0.38% -0.76% -0.99% -2.00% -1.28% -1.22% -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
2021 Contract Condition           Yes     Yes Yes    
Action           No     Yes Yes    
High       155~080 157~140 157~010 159~190 165~150 165~130 164~240 161~080 164~010
Low       152~160 154~030 154~000 154~150 158~160 161~010 158~220 157~030 158~290
Close/Last       153~030 155~210 155~060 159~090 163~050 162~310 159~070 160~270 163~220

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