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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March 30-Year T-Bonds(CBOT) as of Sep 07, 2010 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
29 |
31 |
32 |
32 |
32 |
33 |
33 |
33 |
33 |
33 |
33 |
| Closed Higher |
12 |
12 |
23 |
17 |
21 |
18 |
18 |
25 |
19 |
18 |
16 |
| Exceeded High |
11 |
12 |
16 |
16 |
20 |
16 |
16 |
21 |
18 |
11 |
11 |
| Scenario Percentage |
92% |
100% |
70% |
94% |
95% |
89% |
89% |
84% |
95% |
61% |
69% |
| Avg Max Increase |
6.18% |
4.61% |
4.15% |
4.70% |
4.61% |
3.89% |
4.68% |
4.09% |
4.03% |
3.20% |
2.39% |
| Max Increase |
13.80% |
8.37% |
9.07% |
12.78% |
16.60% |
11.41% |
13.16% |
11.28% |
13.84% |
6.68% |
4.94% |
| Avg Days To Max Increase |
15 |
17 |
18 |
15 |
17 |
17 |
14 |
14 |
18 |
12 |
12 |
| Avg Max Decline |
-0.66% |
-0.28% |
-1.21% |
-0.56% |
-1.02% |
-1.30% |
-0.96% |
-1.43% |
-1.73% |
-0.77% |
-0.72% |
| Max Decline |
-2.05% |
-1.47% |
-4.77% |
-3.20% |
-3.02% |
-3.78% |
-3.07% |
-6.37% |
-5.31% |
-2.45% |
-2.32% |
| Avg Days to Max Decline |
9 |
2 |
12 |
5 |
7 |
11 |
6 |
7 |
8 |
5 |
5 |
| 2010 Contract Condition |
|
|
Yes |
Yes |
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
| Action |
|
|
Yes |
Yes |
Yes |
Yes |
|
No |
|
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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
29 |
31 |
32 |
32 |
32 |
33 |
33 |
33 |
33 |
33 |
33 |
| Closed Lower |
17 |
19 |
9 |
15 |
11 |
15 |
15 |
8 |
14 |
15 |
17 |
| Penetrated Low |
15 |
11 |
6 |
12 |
8 |
8 |
11 |
5 |
10 |
11 |
14 |
| Scenario Percentage |
88% |
58% |
67% |
80% |
73% |
53% |
73% |
63% |
71% |
73% |
82% |
| Avg Max Decline |
4.02% |
3.58% |
4.59% |
4.27% |
6.19% |
5.07% |
2.63% |
2.86% |
5.86% |
4.98% |
7.98% |
| Max Decline |
9.46% |
6.94% |
11.80% |
11.02% |
12.39% |
11.21% |
4.92% |
5.46% |
23.56% |
15.67% |
16.02% |
| Avg Days To Max Decline |
13 |
14 |
13 |
18 |
22 |
12 |
15 |
14 |
21 |
14 |
20 |
| Avg Max Increase |
-0.44% |
-0.74% |
-0.72% |
-2.04% |
-1.63% |
-1.57% |
-1.49% |
-1.76% |
-0.69% |
-0.68% |
-1.45% |
| Max Increase |
-1.90% |
-2.97% |
-1.80% |
-5.09% |
-4.66% |
-5.57% |
-4.14% |
-3.82% |
-2.47% |
-2.91% |
-7.22% |
| Avg Days to Max Increase |
6 |
5 |
5 |
9 |
11 |
8 |
11 |
10 |
7 |
6 |
9 |
| 2010 Contract Condition |
Yes |
Yes |
|
|
|
|
Yes |
|
Yes |
|
|
| Action |
Yes |
Yes |
|
|
|
|
Yes |
|
No |
|
|
| High |
127~14 |
119~28 |
116~09 |
118~32 |
118~32 |
121~01 |
122~27 |
123~00 |
122~21 |
119~07 |
119~18 |
| Low |
119~11 |
113~00 |
110~15 |
113~00 |
113~01 |
117~01 |
117~06 |
116~16 |
114~16 |
114~22 |
115~29 |
| Close/Last |
119~11 |
115~18 |
116~03 |
116~25 |
118~14 |
120~21 |
119~16 |
122~23 |
115~12 |
118~26 |
119~06 |
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