MRCI's ScenarioSM Study

ScenarioSM Study for December 10-Year T-Notes(CBOT) as of Jan 10, 2003
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jun	Jun	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	8	10	15	18	19	21	21	21	21	21	21
Closed Higher	7	5	5	8	8	16	13	13	17	14	10
Exceeded High	5	4	4	7	8	12	13	12	16	13	7
Scenario Percentage	71%	80%	80%	88%	100%	75%	100%	92%	94%	93%	70%
Avg Max Increase	4.38%	2.76%	5.41%	4.80%	3.77%	3.80%	3.41%	4.24%	3.07%	2.58%	1.76%
Max Increase	12.00%	6.46%	8.72%	10.35%	6.31%	8.15%	10.09%	13.27%	8.27%	6.50%	3.69%
Avg Days To Max Increase	14	11	27	14	20	16	14	15	15	9	10
Avg Max Decline	-0.56%	-0.39%	-0.37%	-0.41%	-0.05%	-0.69%	-0.58%	-0.60%	-0.55%	-0.61%	-0.29%
Max Decline	-1.17%	-1.33%	-0.93%	-1.17%	-0.59%	-2.26%	-1.65%	-1.72%	-1.40%	-1.32%	-1.01%
Avg Days to Max Decline	7	4	7	8	7	11	6	5	6	7	2
2002 Contract Condition				Yes	Yes	Yes	Yes	Yes	Yes
Action				Yes	Yes	Yes	Yes	Yes	Yes

Copyright © 2001 Moore Research Center, Inc. All Rights Reserved.
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	Jun	Jun	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	8	10	15	18	19	21	21	21	21	21	21
Closed Lower	1	5	10	10	11	5	8	8	4	7	11
Penetrated Low	1	5	8	8	5	3	5	4	2	5	7
Scenario Percentage	100%	100%	80%	80%	45%	60%	63%	50%	50%	71%	64%
Avg Max Decline	2.51%	2.88%	3.82%	3.79%	2.55%	3.19%	2.59%	2.86%	3.51%	1.76%	3.62%
Max Decline	2.51%	6.28%	9.03%	6.70%	5.16%	6.46%	5.91%	8.15%	4.65%	2.81%	9.60%
Avg Days To Max Decline	31	16	15	17	17	9	15	18	11	10	10
Avg Max Increase	-1.37%	-0.48%	-0.59%	0.12%	-0.32%	-0.55%	-0.58%	-0.95%	-0.67%	-0.49%	-0.80%
Max Increase	-1.37%	-1.12%	-1.22%	-0.36%	-1.32%	-0.95%	-1.07%	-1.65%	-0.79%	-1.50%	-1.30%
Avg Days to Max Increase	14	11	10	7	9	10	5	11	7	8	7
2002 Contract Condition										Yes	Yes
Action										Yes	Yes
High			100~165	103~080	104~055	107~120	110~170	112~270	116~065	116~140	115~150
Low			99~310	100~015	101~290	103~235	105~215	109~060	112~030	111~255	112~020
Close/Last			100~010	103~035	104~020	105~290	109~075	111~250	115~290	114~230	112~165