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| MRCI's ScenarioSM Study |
| ScenarioSM Study for December 10-Year T-Notes(CBOT) as of Apr 04, 2008 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jun |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
9 |
12 |
19 |
22 |
24 |
26 |
26 |
26 |
26 |
26 |
26 |
| Closed Higher |
7 |
5 |
6 |
10 |
10 |
19 |
16 |
18 |
21 |
17 |
14 |
| Exceeded High |
5 |
4 |
4 |
9 |
10 |
14 |
16 |
17 |
20 |
15 |
10 |
| Scenario Percentage |
71% |
80% |
67% |
90% |
100% |
74% |
100% |
94% |
95% |
88% |
71% |
| Avg Max Increase |
4.38% |
2.76% |
5.41% |
4.12% |
3.30% |
3.74% |
3.39% |
3.58% |
2.83% |
2.62% |
1.54% |
| 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 |
18 |
18 |
15 |
15 |
16 |
8 |
9 |
| Avg Max Decline |
-0.56% |
-0.39% |
-0.37% |
-0.58% |
-0.09% |
-0.64% |
-0.54% |
-0.68% |
-0.62% |
-0.60% |
-0.30% |
| Max Decline |
-1.17% |
-1.33% |
-0.93% |
-1.95% |
-0.60% |
-2.26% |
-1.65% |
-1.72% |
-1.40% |
-1.32% |
-1.01% |
| Avg Days to Max Decline |
7 |
4 |
7 |
11 |
6 |
10 |
6 |
8 |
7 |
6 |
2 |
| 2006 Contract Condition |
|
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|
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
| Action |
|
|
|
|
|
Yes |
Yes |
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 |
Jun |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
9 |
12 |
19 |
22 |
24 |
26 |
26 |
26 |
26 |
26 |
26 |
| Closed Lower |
2 |
7 |
13 |
12 |
14 |
7 |
10 |
8 |
5 |
9 |
12 |
| Penetrated Low |
2 |
7 |
10 |
10 |
7 |
4 |
7 |
4 |
3 |
6 |
8 |
| Scenario Percentage |
100% |
100% |
77% |
83% |
50% |
57% |
70% |
50% |
60% |
67% |
67% |
| Avg Max Decline |
2.10% |
2.78% |
3.44% |
3.38% |
2.36% |
4.20% |
2.15% |
2.86% |
3.08% |
1.62% |
3.22% |
| 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 |
19 |
19 |
16 |
17 |
18 |
7 |
12 |
18 |
8 |
9 |
9 |
| Avg Max Increase |
-0.75% |
-0.36% |
-0.56% |
0.03% |
-0.38% |
-0.52% |
-0.47% |
-0.95% |
-0.50% |
-0.44% |
-0.74% |
| Max Increase |
-1.37% |
-1.12% |
-1.22% |
-0.61% |
-1.32% |
-0.95% |
-1.07% |
-1.65% |
-0.79% |
-1.50% |
-1.30% |
| Avg Days to Max Increase |
10 |
9 |
14 |
10 |
7 |
7 |
4 |
11 |
5 |
7 |
6 |
| 2006 Contract Condition |
Yes |
Yes |
Yes |
Yes |
Yes |
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| Action |
Yes |
Yes |
Yes |
Yes |
Yes |
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| High |
109~060 |
108~080 |
107~265 |
106~140 |
105~180 |
105~310 |
106~005 |
107~130 |
108~240 |
108~215 |
109~045 |
| Low |
108~035 |
107~150 |
106~090 |
104~235 |
104~105 |
103~310 |
104~010 |
105~240 |
106~175 |
106~190 |
107~100 |
| Close/Last |
108~035 |
108~010 |
106~130 |
105~105 |
104~230 |
104~240 |
106~000 |
107~120 |
108~020 |
108~070 |
109~035 |
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