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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 30, 2024
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   31 31 31 45 45 45 45 45 45 45 45
Closed Higher   17 15 12 22 21 29 26 27 22 21 32
Exceeded High   11 10 8 19 21 22 23 22 18 17 22
Scenario Percentage   65% 67% 67% 86% 100% 76% 88% 81% 82% 81% 69%
Avg Max Increase   3.22% 3.85% 7.11% 5.49% 4.01% 4.76% 4.94% 4.94% 3.95% 4.46% 3.04%
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 17 15 10 12
Avg Max Decline   -0.31% -1.07% -0.83% -0.88% -0.69% -1.08% -0.74% -1.21% -0.89% -0.99% -0.56%
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
2024 Contract Condition           Yes Yes Yes Yes Yes    
Action           Yes Yes Yes Yes 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   31 31 31 45 45 45 45 45 45 45 45
Closed Lower   14 16 18 22 24 16 19 18 23 24 13
Penetrated Low   10 14 13 18 15 10 15 15 15 13 7
Scenario Percentage   71% 88% 72% 82% 63% 63% 79% 83% 65% 54% 54%
Avg Max Decline   5.31% 3.25% 4.60% 4.52% 4.25% 4.58% 4.44% 6.23% 5.18% 3.61% 2.83%
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   16 21 20 14 14 14 18 21 15 10 10
Avg Max Increase   -0.73% -1.57% -1.37% -0.41% -0.62% -1.04% -1.88% -1.08% -1.36% -0.96% -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   9 13 12 6 3 8 10 8 6 6 3
2024 Contract Condition         Yes              
Action         No              
High       120~150 120~000 118~210 120~230 121~290 126~300 127~220    
Low       118~230 113~040 114~080 116~240 116~010 121~150 122~170    
Close/Last       120~150 113~270 116~100 118~140 120~290 123~040 124~060    

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