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| MRCI's ScenarioSM Study |
| ScenarioSM Study for September 30-Year T-Bonds(CBOT) as of Jul 31, 2006 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jun |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
25 |
26 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
| Closed Higher |
14 |
20 |
16 |
16 |
13 |
10 |
12 |
13 |
21 |
14 |
16 |
| Exceeded High |
13 |
17 |
16 |
9 |
10 |
7 |
11 |
13 |
14 |
13 |
14 |
| Scenario Percentage |
93% |
85% |
100% |
56% |
77% |
70% |
92% |
100% |
67% |
93% |
88% |
| Avg Max Increase |
4.93% |
3.64% |
4.17% |
3.84% |
4.01% |
8.33% |
6.90% |
4.63% |
5.06% |
4.50% |
2.27% |
| Max Increase |
12.38% |
8.28% |
14.46% |
6.69% |
12.15% |
22.19% |
13.83% |
9.25% |
12.19% |
11.34% |
5.15% |
| Avg Days To Max Increase |
15 |
14 |
17 |
13 |
16 |
19 |
14 |
17 |
16 |
10 |
12 |
| Avg Max Decline |
-0.76% |
-1.36% |
-1.61% |
-0.44% |
-1.18% |
-1.09% |
-0.97% |
-0.46% |
-1.16% |
-0.44% |
-0.71% |
| Max Decline |
-2.49% |
-5.56% |
-5.39% |
-1.69% |
-2.34% |
-3.15% |
-2.47% |
-1.47% |
-4.58% |
-1.41% |
-1.95% |
| Avg Days to Max Decline |
5 |
8 |
8 |
4 |
11 |
5 |
10 |
2 |
9 |
4 |
2 |
| 2005 Contract Condition |
|
|
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
|
Yes |
| Action |
|
|
Yes |
Yes |
|
|
Yes |
Yes |
No |
|
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 |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
25 |
26 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
| Closed Lower |
11 |
6 |
11 |
12 |
15 |
18 |
15 |
15 |
7 |
14 |
12 |
| Penetrated Low |
7 |
2 |
9 |
9 |
14 |
12 |
13 |
8 |
4 |
11 |
10 |
| Scenario Percentage |
64% |
33% |
82% |
75% |
93% |
67% |
87% |
53% |
57% |
79% |
83% |
| Avg Max Decline |
2.07% |
3.65% |
4.09% |
5.67% |
3.43% |
4.59% |
4.22% |
3.71% |
6.27% |
3.74% |
8.27% |
| Max Decline |
3.28% |
4.26% |
7.43% |
15.40% |
7.67% |
11.64% |
9.68% |
6.81% |
11.50% |
8.04% |
18.90% |
| Avg Days To Max Decline |
14 |
24 |
21 |
17 |
20 |
18 |
15 |
16 |
17 |
14 |
17 |
| Avg Max Increase |
-1.27% |
-2.38% |
-1.08% |
-0.49% |
-1.30% |
-1.38% |
-0.68% |
-1.13% |
-0.73% |
-2.00% |
-1.46% |
| Max Increase |
-4.32% |
-3.09% |
-3.84% |
-2.52% |
-6.50% |
-5.19% |
-2.78% |
-3.05% |
-1.35% |
-5.12% |
-4.54% |
| Avg Days to Max Increase |
13 |
22 |
13 |
10 |
12 |
12 |
4 |
5 |
4 |
9 |
7 |
| 2005 Contract Condition |
|
|
|
|
Yes |
Yes |
|
|
|
Yes |
|
| Action |
|
|
|
|
Yes |
No |
|
|
|
Yes |
|
| High |
|
111~00 |
112~13 |
114~04 |
116~09 |
113~28 |
115~09 |
117~23 |
119~23 |
119~04 |
118~16 |
| Low |
|
108~16 |
108~04 |
109~31 |
111~22 |
108~15 |
110~15 |
113~05 |
115~26 |
114~29 |
113~24 |
| Close/Last |
|
108~16 |
110~29 |
113~15 |
111~29 |
110~31 |
114~19 |
117~14 |
118~24 |
115~10 |
118~12 |
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