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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      
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Some data provided by Prophetfinance.com
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