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MRCI's ScenarioSM Study
ScenarioSM Study for December 30-Year T-Bonds(CBOT) as of Oct 31, 2004
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 26 26 26 26 26 26 26 26 27 27 27
Closed Higher 14 12 9 11 12 19 13 15 15 15 20
Exceeded High 9 9 7 10 12 13 13 14 13 13 13
Scenario Percentage 64% 75% 78% 91% 100% 68% 100% 93% 87% 87% 65%
Avg Max Increase 3.01% 3.90% 8.02% 6.97% 4.76% 4.97% 4.52% 5.54% 4.71% 4.89% 2.48%
Max Increase 6.77% 11.95% 21.24% 13.90% 8.88% 12.26% 13.77% 17.57% 11.82% 13.48% 5.54%
Avg Days To Max Increase 12 16 19 17 18 15 11 18 14 10 12
Avg Max Decline -0.33% -1.10% -0.95% -0.93% -0.46% -1.21% -0.57% -1.13% -0.81% -0.85% -0.70%
Max Decline -1.75% -2.31% -3.17% -2.25% -1.47% -4.65% -1.75% -3.02% -2.56% -2.53% -1.52%
Avg Days to Max Decline 5 12 6 10 6 10 4 8 6 5 3
2004 Contract Condition Yes Yes Yes     Yes Yes Yes Yes Yes  
Action Yes Yes No     Yes Yes Yes Yes Not Yet  
Copyright © 2003 Moore Research Center, Inc. All Rights Reserved.
Some data provided by Prophetfinance.com
Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 26 26 26 26 26 26 26 26 27 27 27
Closed Lower 12 14 16 14 14 7 13 11 12 12 7
Penetrated Low 9 13 12 12 8 5 11 8 7 9 6
Scenario Percentage 75% 93% 75% 86% 57% 71% 85% 73% 58% 75% 86%
Avg Max Decline 5.59% 3.39% 4.61% 4.26% 3.69% 5.48% 4.58% 6.22% 5.21% 2.58% 8.81%
Max Decline 15.24% 7.81% 11.60% 9.68% 6.80% 11.69% 10.89% 12.39% 11.46% 6.72% 16.86%
Avg Days To Max Decline 17 21 20 15 16 16 18 22 14 12 14
Avg Max Increase -0.37% -1.24% -1.43% -0.53% -1.09% -0.91% -2.28% -1.67% -1.19% -1.30% -2.38%
Max Increase -2.26% -6.13% -5.07% -1.95% -3.14% -1.62% -5.17% -5.05% -5.70% -3.56% -3.50%
Avg Days to Max Increase 11 12 11 4 5 6 10 11 8 11 10
2004 Contract Condition       Yes Yes           Yes
Action       Yes No            
High 108~30 109~22 113~12 111~03 104~28 105~17 108~18 111~22 114~03 114~25 113~28
Low 103~25 106~27 108~25 104~00 100~24 101~27 105~00 107~00 109~05 110~21 113~01
Close/Last 107~08 109~22 111~08 104~15 104~00 105~07 107~01 111~10 112~07 113~27 113~04