|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for March 10-Year T-Notes(CBOT) as of Nov 30, 2006 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
11 |
13 |
18 |
20 |
23 |
24 |
24 |
24 |
24 |
24 |
24 |
| Closed Higher |
5 |
7 |
13 |
11 |
16 |
19 |
15 |
12 |
16 |
17 |
12 |
| Exceeded High |
5 |
7 |
9 |
10 |
14 |
18 |
14 |
12 |
15 |
12 |
10 |
| Scenario Percentage |
100% |
100% |
69% |
91% |
88% |
95% |
93% |
100% |
94% |
71% |
83% |
| Avg Max Increase |
4.42% |
2.65% |
3.02% |
3.18% |
4.02% |
2.81% |
2.85% |
2.50% |
3.00% |
2.63% |
1.47% |
| Max Increase |
9.87% |
5.99% |
5.18% |
9.68% |
12.83% |
7.97% |
7.51% |
4.87% |
8.15% |
9.27% |
2.73% |
| Avg Days To Max Increase |
11 |
18 |
19 |
14 |
14 |
15 |
16 |
16 |
18 |
11 |
10 |
| Avg Max Decline |
-0.09% |
0.02% |
-0.55% |
-0.17% |
-0.53% |
-0.45% |
-0.62% |
-0.72% |
-1.12% |
-0.63% |
-0.40% |
| Max Decline |
-0.35% |
-0.99% |
-2.04% |
-0.88% |
-1.70% |
-1.38% |
-2.27% |
-2.19% |
-3.13% |
-1.47% |
-1.34% |
| Avg Days to Max Decline |
4 |
7 |
10 |
3 |
8 |
6 |
9 |
8 |
9 |
6 |
4 |
| 2007 Contract Condition |
|
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
|
| Action |
|
|
Yes |
Yes |
Yes |
Yes |
Yes |
Not Yet |
|
|
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
11 |
13 |
18 |
20 |
23 |
24 |
24 |
24 |
24 |
24 |
24 |
| Closed Lower |
6 |
6 |
4 |
9 |
7 |
5 |
9 |
12 |
8 |
7 |
12 |
| Penetrated Low |
3 |
3 |
2 |
6 |
4 |
3 |
8 |
9 |
6 |
5 |
12 |
| Scenario Percentage |
50% |
50% |
50% |
67% |
57% |
60% |
89% |
75% |
75% |
71% |
100% |
| Avg Max Decline |
3.80% |
2.71% |
3.53% |
2.15% |
2.68% |
3.06% |
1.85% |
1.85% |
2.66% |
1.72% |
4.12% |
| Max Decline |
6.91% |
5.27% |
6.46% |
5.88% |
8.03% |
4.52% |
2.99% |
4.16% |
4.53% |
2.13% |
11.99% |
| Avg Days To Max Decline |
8 |
15 |
9 |
17 |
18 |
12 |
13 |
8 |
25 |
11 |
16 |
| Avg Max Increase |
0.03% |
-0.59% |
-0.33% |
-0.72% |
-0.50% |
-0.36% |
-0.45% |
-0.75% |
-1.06% |
-0.90% |
-0.55% |
| Max Increase |
-0.16% |
-1.37% |
-0.66% |
-2.04% |
-1.07% |
-0.63% |
-1.64% |
-1.35% |
-3.95% |
-1.61% |
-1.29% |
| Avg Days to Max Increase |
11 |
8 |
4 |
5 |
8 |
6 |
9 |
4 |
12 |
7 |
7 |
| 2007 Contract Condition |
Yes |
Yes |
|
|
|
|
|
|
|
|
|
| Action |
Yes |
Yes |
|
|
|
|
|
|
|
|
|
| High |
106~140 |
105~120 |
105~270 |
105~315 |
107~130 |
108~240 |
108~200 |
109~070 |
|
|
|
| Low |
104~285 |
104~105 |
104~000 |
104~075 |
105~255 |
106~195 |
106~205 |
107~125 |
|
|
|
| Close/Last |
105~105 |
104~230 |
104~290 |
105~315 |
107~130 |
108~035 |
108~100 |
109~060 |
|
|
|
|
|