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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 10-Year T-Notes(CBOT) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   9 13 20 23 25 27 27 27 27 27 27
Closed Higher   7 5 7 10 10 20 17 19 21 17 15
Exceeded High   5 4 4 8 10 15 17 18 20 15 11
Scenario Percentage   71% 80% 57% 80% 100% 75% 100% 95% 95% 88% 73%
Avg Max Increase   4.38% 2.76% 5.41% 4.54% 3.31% 3.68% 3.54% 3.57% 2.84% 2.62% 1.98%
Max Increase   12.00% 6.46% 8.72% 10.35% 6.31% 8.15% 10.09% 13.27% 8.27% 6.50% 6.43%
Avg Days To Max Increase   14 11 27 12 18 19 15 15 16 8 10
Avg Max Decline   -0.56% -0.39% -0.37% -0.41% -0.09% -0.66% -0.54% -0.67% -0.62% -0.60% -0.31%
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 8 7 6 2
2008 Contract Condition     Yes Yes     Yes Yes Yes     Yes
Action     Yes No     Yes 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 Feb Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   9 13 20 23 25 27 27 27 27 27 27
Closed Lower   2 8 13 13 15 7 10 8 6 10 12
Penetrated Low   2 7 10 11 8 4 7 4 4 6 7
Scenario Percentage   100% 88% 77% 85% 53% 57% 70% 50% 67% 60% 58%
Avg Max Decline   2.10% 2.78% 3.44% 3.36% 2.22% 4.23% 2.17% 2.86% 3.02% 1.62% 1.56%
Max Decline   2.51% 6.28% 9.03% 6.70% 5.16% 7.37% 5.91% 8.15% 4.65% 2.81% 3.98%
Avg Days To Max Decline   19 19 16 17 17 11 14 18 10 9 10
Avg Max Increase   -0.75% -0.36% -0.50% -0.00% -0.51% -0.52% -0.81% -0.95% -1.12% -0.44% -0.60%
Max Increase   -1.37% -1.12% -1.22% -0.61% -1.39% -0.95% -2.86% -1.65% -3.00% -1.50% -1.13%
Avg Days to Max Increase   10 9 11 10 7 7 5 11 6 7 5
2008 Contract Condition         Yes Yes       Yes Yes  
Action         Yes Yes       Yes Not Yet  
High   114~020 115~010 117~045 116~085 113~245 112~270 114~190 115~300 119~115 118~020 123~055
Low   113~005 112~005 113~285 112~170 111~000 109~270 111~230 112~280 114~005 111~125 112~275
Close/Last   113~235 115~010 116~085 113~130 111~080 112~210 113~180 115~160 114~200 113~025 122~285

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