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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March 10-Year T-Notes(CBOT) as of Sep 09, 2010 |
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 |
14 |
16 |
22 |
24 |
27 |
28 |
28 |
28 |
28 |
28 |
28 |
| Closed Higher |
5 |
7 |
15 |
15 |
20 |
22 |
18 |
16 |
18 |
19 |
15 |
| Exceeded High |
5 |
7 |
11 |
14 |
18 |
21 |
17 |
15 |
16 |
14 |
13 |
| Scenario Percentage |
100% |
100% |
73% |
93% |
90% |
95% |
94% |
94% |
89% |
74% |
87% |
| Avg Max Increase |
4.42% |
2.65% |
2.95% |
3.18% |
3.57% |
2.84% |
2.84% |
2.80% |
3.13% |
2.63% |
1.52% |
| Max Increase |
9.87% |
5.99% |
5.18% |
9.68% |
12.83% |
7.97% |
7.51% |
6.39% |
8.15% |
9.27% |
3.99% |
| Avg Days To Max Increase |
11 |
18 |
21 |
16 |
15 |
17 |
15 |
15 |
19 |
11 |
11 |
| Avg Max Decline |
-0.09% |
0.02% |
-0.58% |
-0.35% |
-0.54% |
-0.55% |
-0.62% |
-0.70% |
-1.07% |
-0.71% |
-0.30% |
| Max Decline |
-0.35% |
-0.99% |
-2.04% |
-2.11% |
-1.70% |
-1.38% |
-2.27% |
-2.19% |
-3.13% |
-1.47% |
-1.34% |
| Avg Days to Max Decline |
4 |
7 |
10 |
4 |
11 |
8 |
8 |
8 |
8 |
7 |
4 |
| 2010 Contract Condition |
|
|
|
Yes |
Yes |
Yes |
Yes |
Yes |
|
Yes |
Yes |
| Action |
|
|
|
Yes |
Yes |
Yes |
Yes |
No |
|
Yes |
Yes |
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 |
14 |
16 |
22 |
24 |
27 |
28 |
28 |
28 |
28 |
28 |
28 |
| Closed Lower |
9 |
9 |
6 |
9 |
7 |
6 |
10 |
12 |
10 |
9 |
13 |
| Penetrated Low |
6 |
6 |
2 |
6 |
4 |
4 |
8 |
9 |
7 |
6 |
12 |
| Scenario Percentage |
67% |
67% |
33% |
67% |
57% |
67% |
80% |
75% |
70% |
67% |
92% |
| Avg Max Decline |
3.60% |
2.32% |
3.53% |
2.15% |
2.68% |
3.10% |
1.85% |
1.85% |
2.45% |
1.65% |
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 |
12 |
15 |
9 |
17 |
18 |
13 |
13 |
8 |
25 |
14 |
16 |
| Avg Max Increase |
-0.24% |
-0.71% |
-0.33% |
-0.72% |
-0.50% |
-0.99% |
-0.45% |
-0.75% |
-1.02% |
-1.03% |
-0.55% |
| Max Increase |
-0.68% |
-1.40% |
-0.66% |
-2.04% |
-1.07% |
-2.89% |
-1.64% |
-1.35% |
-3.95% |
-1.72% |
-1.29% |
| Avg Days to Max Increase |
16 |
7 |
4 |
5 |
8 |
6 |
9 |
4 |
11 |
9 |
7 |
| 2010 Contract Condition |
Yes |
Yes |
Yes |
|
|
|
|
|
Yes |
|
|
| Action |
Yes |
Yes |
No |
|
|
|
|
|
No |
|
|
| High |
121~090 |
118~145 |
115~095 |
116~105 |
116~070 |
117~050 |
118~135 |
120~150 |
119~315 |
118~140 |
118~305 |
| Low |
117~210 |
114~075 |
110~290 |
113~180 |
112~130 |
115~125 |
115~190 |
116~065 |
114~285 |
114~310 |
116~285 |
| Close/Last |
117~210 |
115~095 |
113~280 |
114~265 |
116~070 |
116~310 |
117~075 |
119~300 |
115~145 |
118~050 |
118~290 |
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