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| MRCI's ScenarioSM Study |
| ScenarioSM Study for June 10-Year T-Notes(CBOT) as of Jul 31, 2006 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
11 |
13 |
20 |
21 |
23 |
23 |
24 |
24 |
24 |
24 |
24 |
| Closed Higher |
5 |
9 |
14 |
14 |
12 |
17 |
17 |
12 |
8 |
11 |
10 |
| Exceeded High |
4 |
8 |
14 |
11 |
12 |
15 |
12 |
10 |
5 |
11 |
10 |
| Scenario Percentage |
80% |
89% |
100% |
79% |
100% |
88% |
71% |
83% |
63% |
100% |
100% |
| Avg Max Increase |
4.04% |
3.91% |
2.79% |
3.34% |
2.40% |
3.03% |
2.90% |
2.38% |
4.92% |
3.93% |
1.98% |
| Max Increase |
9.06% |
11.62% |
7.59% |
7.76% |
4.84% |
8.72% |
11.48% |
6.91% |
9.31% |
10.46% |
3.23% |
| Avg Days To Max Increase |
11 |
13 |
18 |
16 |
16 |
19 |
13 |
12 |
21 |
10 |
12 |
| Avg Max Decline |
-0.39% |
-0.26% |
-0.18% |
-0.36% |
-0.55% |
-1.04% |
-0.54% |
-0.66% |
-0.58% |
-0.49% |
-0.22% |
| Max Decline |
-0.88% |
-1.51% |
-1.14% |
-1.32% |
-2.12% |
-3.16% |
-1.33% |
-1.61% |
-1.43% |
-1.24% |
-0.64% |
| Avg Days to Max Decline |
3 |
7 |
5 |
7 |
5 |
9 |
7 |
6 |
6 |
6 |
2 |
| 2005 Contract Condition |
|
|
Yes |
Yes |
|
Yes |
Yes |
|
|
Yes |
Yes |
| Action |
|
|
Yes |
No |
|
Yes |
Yes |
|
|
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 |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
11 |
13 |
20 |
21 |
23 |
23 |
24 |
24 |
24 |
24 |
24 |
| Closed Lower |
6 |
3 |
6 |
7 |
11 |
6 |
7 |
12 |
15 |
12 |
13 |
| Penetrated Low |
3 |
1 |
3 |
7 |
7 |
4 |
5 |
12 |
10 |
11 |
8 |
| Scenario Percentage |
50% |
33% |
50% |
100% |
64% |
67% |
71% |
100% |
67% |
92% |
62% |
| Avg Max Decline |
1.26% |
0.13% |
2.69% |
1.66% |
1.56% |
2.38% |
2.00% |
2.50% |
3.47% |
2.88% |
5.02% |
| Max Decline |
1.59% |
0.13% |
4.16% |
2.48% |
4.08% |
4.57% |
2.62% |
5.76% |
8.91% |
6.51% |
15.40% |
| Avg Days To Max Decline |
12 |
5 |
11 |
13 |
7 |
26 |
19 |
17 |
18 |
15 |
17 |
| Avg Max Increase |
-0.31% |
-0.20% |
-0.30% |
-0.10% |
-0.73% |
-1.48% |
-0.86% |
-0.43% |
-0.99% |
-0.39% |
-1.40% |
| Max Increase |
-1.04% |
-0.20% |
-0.49% |
-1.61% |
-1.41% |
-3.63% |
-1.59% |
-1.27% |
-3.49% |
-1.78% |
-4.53% |
| Avg Days to Max Increase |
3 |
3 |
12 |
6 |
5 |
17 |
7 |
6 |
11 |
3 |
7 |
| 2005 Contract Condition |
|
|
|
|
Yes |
|
|
Yes |
Yes |
|
|
| Action |
|
|
|
|
Yes |
|
|
Yes |
No |
|
|
| High |
|
110~040 |
111~250 |
112~145 |
111~240 |
112~000 |
111~160 |
112~160 |
110~115 |
111~285 |
113~135 |
| Low |
|
108~310 |
109~010 |
110~000 |
109~230 |
109~180 |
110~030 |
109~205 |
107~265 |
108~270 |
110~255 |
| Close/Last |
|
110~040 |
110~310 |
111~310 |
109~275 |
111~015 |
111~125 |
109~280 |
109~085 |
111~135 |
112~270 |
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