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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 10-Year T-Notes(CBOT) as of Dec 30, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   15 17 24 26 28 28 28 29 29 29 29
Closed Higher   9 13 17 18 16 19 20 15 10 14 12
Exceeded High   8 12 17 14 15 16 15 12 5 14 11
Scenario Percentage   89% 92% 100% 78% 94% 84% 75% 80% 50% 100% 92%
Avg Max Increase   3.67% 3.26% 2.82% 3.18% 2.65% 3.14% 2.84% 2.35% 4.92% 3.65% 1.93%
Max Increase   9.06% 11.62% 7.59% 7.76% 5.65% 8.72% 11.48% 6.91% 9.31% 10.46% 3.23%
Avg Days To Max Increase   13 13 19 15 16 19 14 12 21 11 12
Avg Max Decline   -0.62% -0.43% -0.27% -0.33% -0.56% -0.94% -0.81% -0.53% -0.58% -0.48% -0.21%
Max Decline   -2.13% -1.84% -1.16% -1.32% -2.12% -3.16% -2.88% -1.61% -1.43% -1.24% -0.64%
Avg Days to Max Decline   4 11 7 6 6 9 8 5 6 6 1
2011 Contract Condition   Yes Yes Yes Yes     Yes     Yes Yes
Action   Yes Yes Yes No     Yes     Yes Yes
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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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   15 17 24 26 28 28 28 29 29 29 29
Closed Lower   6 3 7 8 12 9 8 14 18 14 16
Penetrated Low   3 1 4 7 9 6 6 12 12 13 8
Scenario Percentage   50% 33% 57% 88% 75% 67% 75% 86% 67% 93% 50%
Avg Max Decline   1.26% 0.13% 2.76% 1.67% 1.81% 2.22% 1.88% 2.50% 3.14% 3.06% 1.85%
Max Decline   1.59% 0.13% 4.16% 2.56% 4.97% 4.57% 2.62% 5.76% 8.91% 6.51% 3.48%
Avg Days To Max Decline   12 5 12 9 8 23 17 17 18 14 10
Avg Max Increase   -0.31% -0.20% -0.96% -0.10% -0.56% -1.24% -0.87% -0.43% -0.86% -0.44% -0.52%
Max Increase   -1.04% -0.20% -2.92% -1.61% -1.41% -3.63% -1.59% -1.27% -3.49% -1.78% -1.80%
Avg Days to Max Increase   3 3 10 6 4 17 6 6 13 4 2
2011 Contract Condition           Yes Yes   Yes Yes    
Action           Yes Yes   No No    
High 118~000 121~000 123~275 125~010 126~100 126~080 123~090 120~015 119~175 121~265 121~070 124~040
Low 112~305 117~140 120~075 121~185 123~045 122~120 117~050 118~000 116~035 117~180 117~295 120~285
Close/Last 117~210 120~210 123~275 124~170 124~215 123~090 119~070 119~175 119~015 119~010 121~045 124~010

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