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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 30-Year T-Bonds(CBOT) as of Jan 01, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 29 29 32 32 32 32 32 32 32 32 32
Closed Higher 15 18 17 18 24 18 17 15 11 13 13
Exceeded High 14 17 14 17 21 17 10 10 6 12 13
Scenario Percentage 93% 94% 82% 94% 88% 94% 59% 67% 55% 92% 100%
Avg Max Increase 4.27% 4.62% 4.15% 4.39% 3.99% 3.99% 3.56% 4.01% 6.07% 6.12% 3.46%
Max Increase 12.20% 15.55% 10.84% 12.87% 11.27% 13.95% 6.72% 12.22% 11.08% 13.58% 9.77%
Avg Days To Max Increase 12 19 17 14 15 17 12 16 20 10 12
Avg Max Decline -0.31% -1.02% -0.94% -0.76% -1.34% -1.73% -0.52% -1.25% -1.18% -0.94% -0.43%
Max Decline -1.10% -3.05% -3.17% -2.94% -5.97% -5.50% -1.68% -2.37% -3.13% -2.41% -1.47%
Avg Days to Max Decline 5 7 9 6 8 9 4 11 6 9 1
2009 Contract Condition   Yes     Yes Yes     Yes    
Action   Yes     Yes No     No    
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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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 29 29 32 32 32 32 32 32 32 32 32
Closed Lower 14 11 15 14 8 13 15 17 21 19 19
Penetrated Low 10 10 8 10 5 10 11 15 14 16 14
Scenario Percentage 71% 91% 53% 71% 62% 77% 73% 88% 67% 84% 74%
Avg Max Decline 4.54% 5.05% 4.74% 2.29% 2.96% 5.86% 5.15% 3.30% 4.29% 4.17% 10.53%
Max Decline 10.76% 12.31% 10.61% 3.85% 5.48% 23.44% 15.50% 7.71% 11.51% 10.02% 38.04%
Avg Days To Max Decline 18 22 14 12 14 22 17 19 19 14 18
Avg Max Increase -2.05% -1.31% -1.53% -1.42% -1.40% -0.66% -0.74% -1.63% -1.29% -0.69% -1.64%
Max Increase -5.02% -4.37% -5.34% -4.51% -3.44% -2.49% -2.92% -7.47% -5.30% -2.80% -4.41%
Avg Days to Max Increase 10 9 8 13 10 7 6 10 13 4 8
2009 Contract Condition Yes   Yes Yes     Yes Yes   Yes Yes
Action No   Yes No     Yes Yes   Yes Yes
High 114~110 116~010 119~290 119~260 126~080 140~120 138~060 129~020 132~180 130~310 123~230
Low 110~210 111~230 114~220 110~240 110~260 126~260 125~070 123~040 123~100 121~250 115~240
Close/Last 112~170 115~130 115~010 110~260 126~050 136~240 125~130 123~110 129~230 122~180 119~030

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