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| MRCI's ScenarioSM Study |
| ScenarioSM Study for September 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 |
Jun |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
9 |
12 |
18 |
20 |
22 |
22 |
23 |
23 |
24 |
24 |
24 |
| Closed Higher |
6 |
8 |
11 |
15 |
11 |
7 |
10 |
11 |
18 |
13 |
16 |
| Exceeded High |
5 |
7 |
10 |
11 |
10 |
5 |
9 |
11 |
13 |
13 |
13 |
| Scenario Percentage |
83% |
88% |
91% |
73% |
91% |
71% |
90% |
100% |
72% |
100% |
81% |
| Avg Max Increase |
3.20% |
2.81% |
3.56% |
2.90% |
1.90% |
4.89% |
4.75% |
3.33% |
3.79% |
3.08% |
1.71% |
| Max Increase |
7.63% |
4.76% |
8.99% |
11.72% |
6.75% |
9.14% |
10.78% |
6.35% |
7.98% |
9.50% |
3.24% |
| Avg Days To Max Increase |
22 |
17 |
17 |
13 |
15 |
24 |
15 |
18 |
17 |
11 |
11 |
| Avg Max Decline |
-0.05% |
-0.68% |
-0.91% |
-0.35% |
-0.84% |
-0.64% |
-0.55% |
-0.21% |
-0.74% |
-0.58% |
-0.51% |
| Max Decline |
-0.84% |
-2.18% |
-3.19% |
-1.16% |
-2.71% |
-1.37% |
-1.32% |
-0.72% |
-2.41% |
-1.73% |
-1.37% |
| Avg Days to Max Decline |
2 |
7 |
10 |
6 |
6 |
6 |
8 |
5 |
10 |
6 |
2 |
| 2005 Contract Condition |
|
|
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
|
Yes |
| Action |
|
|
Yes |
Yes |
|
|
Yes |
Yes |
No |
|
Yes |
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Jun |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
9 |
12 |
18 |
20 |
22 |
22 |
23 |
23 |
24 |
24 |
24 |
| Closed Lower |
3 |
4 |
7 |
5 |
11 |
14 |
12 |
12 |
6 |
11 |
8 |
| Penetrated Low |
3 |
2 |
6 |
5 |
11 |
10 |
10 |
5 |
4 |
7 |
4 |
| Scenario Percentage |
100% |
50% |
86% |
100% |
100% |
71% |
83% |
42% |
67% |
64% |
50% |
| Avg Max Decline |
1.73% |
0.86% |
1.98% |
2.40% |
2.44% |
3.48% |
3.16% |
2.57% |
3.97% |
2.13% |
6.01% |
| Max Decline |
2.29% |
1.10% |
4.22% |
4.63% |
5.93% |
9.11% |
6.90% |
4.91% |
6.65% |
5.63% |
12.33% |
| Avg Days To Max Decline |
17 |
4 |
25 |
13 |
17 |
19 |
16 |
17 |
7 |
9 |
17 |
| Avg Max Increase |
-0.15% |
-0.86% |
-1.38% |
-0.49% |
-0.48% |
-1.08% |
-0.30% |
-0.63% |
-0.54% |
-0.49% |
-1.02% |
| Max Increase |
-1.44% |
-0.88% |
-3.52% |
-1.37% |
-1.18% |
-3.65% |
-1.64% |
-1.44% |
-0.95% |
-1.10% |
-1.64% |
| Avg Days to Max Increase |
9 |
8 |
21 |
6 |
10 |
11 |
4 |
6 |
7 |
4 |
10 |
| 2005 Contract Condition |
|
|
|
|
Yes |
Yes |
|
|
|
Yes |
|
| Action |
|
|
|
|
Yes |
No |
|
|
|
Yes |
|
| High |
|
109~265 |
111~165 |
111~130 |
112~140 |
110~010 |
111~285 |
113~155 |
114~210 |
113~215 |
113~020 |
| Low |
|
108~245 |
108~175 |
110~005 |
109~145 |
107~185 |
108~230 |
110~290 |
112~035 |
110~280 |
109~245 |
| Close/Last |
|
108~245 |
110~180 |
111~090 |
109~210 |
108~310 |
111~145 |
113~085 |
113~150 |
110~315 |
112~295 |
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