MRCI's ScenarioSM Study

ScenarioSM Study for December 10-Year T-Notes(CBOT) as of Oct 31, 2004
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	Jun	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	8	10	15	18	20	22	22	22	22	22	22
Closed Higher	7	5	5	8	9	16	13	14	18	14	11
Exceeded High	5	4	4	7	9	12	13	13	17	13	8
Scenario Percentage	71%	80%	80%	88%	100%	75%	100%	93%	94%	93%	73%
Avg Max Increase	4.38%	2.76%	5.41%	4.80%	3.54%	3.80%	3.41%	4.27%	2.90%	2.58%	1.75%
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	14	14	9	11
Avg Max Decline	-0.56%	-0.39%	-0.37%	-0.41%	-0.11%	-0.69%	-0.58%	-0.67%	-0.54%	-0.61%	-0.36%
Max Decline	-1.17%	-1.33%	-0.93%	-1.17%	-0.60%	-2.26%	-1.65%	-1.72%	-1.40%	-1.32%	-1.01%
Avg Days to Max Decline	7	4	7	8	6	11	6	5	6	7	2
2004 Contract Condition			Yes			Yes	Yes	Yes	Yes	Yes
Action			No			Yes	Yes	Yes	Yes	Not Yet

Copyright © 2003 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	Jun	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	8	10	15	18	20	22	22	22	22	22	22
Closed Lower	1	5	10	10	11	6	9	8	4	8	11
Penetrated Low	1	5	8	8	5	4	6	4	2	5	7
Scenario Percentage	100%	100%	80%	80%	45%	67%	67%	50%	50%	63%	64%
Avg Max Decline	2.51%	2.88%	3.82%	3.79%	2.55%	4.20%	2.33%	2.86%	3.51%	1.76%	3.67%
Max Decline	2.51%	6.28%	9.03%	6.70%	5.16%	7.26%	5.91%	8.15%	4.65%	2.81%	9.60%
Avg Days To Max Decline	31	16	15	17	17	7	13	18	11	10	11
Avg Max Increase	-1.37%	-0.48%	-0.59%	0.12%	-0.32%	-0.52%	-0.56%	-0.95%	-0.67%	-0.49%	-0.83%
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	7	5	11	7	8	7
2004 Contract Condition				Yes	Yes						Yes
Action				Yes	No
High		111~050	113~280	112~065	107~235	108~060	110~045	112~190	113~255	114~050	113~180
Low		108~270	110~210	107~115	105~105	105~250	107~315	109~160	111~025	111~210	113~025
Close/Last		111~050	112~245	107~220	107~020	108~025	109~160	112~100	112~200	113~180	113~040