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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 23, 2023
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 45 45 45 45 45 45 45 45
Closed Higher   17 15 12 21 21 29 27 28 22 21 32
Exceeded High   11 10 8 19 21 22 24 23 18 17 21
Scenario Percentage   65% 67% 67% 90% 100% 76% 89% 82% 82% 81% 66%
Avg Max Increase   3.22% 3.85% 7.11% 5.49% 4.01% 4.76% 4.88% 4.77% 3.95% 4.46% 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 17 15 16 15 10 12
Avg Max Decline   -0.31% -1.07% -0.83% -0.88% -0.69% -1.08% -0.71% -1.17% -0.89% -0.99% -0.58%
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
2022 Contract Condition               Yes       Yes
Action               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 45 45 45 45 45 45 45 45
Closed Lower   15 17 19 23 24 16 18 17 23 24 13
Penetrated Low   11 15 14 19 15 10 14 14 15 15 7
Scenario Percentage   73% 88% 74% 83% 63% 63% 78% 82% 65% 63% 54%
Avg Max Decline   5.02% 3.14% 4.42% 4.40% 4.07% 3.94% 4.05% 5.82% 4.97% 3.40% 2.92%
Max Decline   15.24% 7.81% 11.60% 9.68% 6.80% 11.69% 10.89% 13.43% 11.46% 8.70% 6.48%
Avg Days To Max Decline   17 21 20 15 14 13 17 20 16 11 11
Avg Max Increase   -0.65% -1.53% -1.32% -0.40% -0.68% -0.99% -2.00% -1.15% -1.38% -1.12% -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 6 4 6 11 8 6 7 3
2022 Contract Condition         Yes Yes Yes   Yes Yes Yes  
Action         Yes Yes No   Yes Yes Not Yet  
High       151~290 148~300 140~160 138~070 143~250 145~140 135~040 129~120 128~220
Low       146~070 138~150 135~020 130~270 136~070 134~310 123~300 117~190 118~030
Close/Last       149~060 139~140 138~300 137~240 143~160 135~270 126~130 120~160 127~010

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