|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for December 30-Year T-Bonds(CBOT) as of Sep 30, 2009 |
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 |
31 |
31 |
31 |
31 |
31 |
31 |
31 |
31 |
32 |
32 |
32 |
| Closed Higher |
17 |
15 |
11 |
13 |
13 |
23 |
16 |
20 |
17 |
18 |
24 |
| Exceeded High |
11 |
10 |
7 |
12 |
13 |
16 |
16 |
19 |
15 |
16 |
15 |
| Scenario Percentage |
65% |
67% |
64% |
92% |
100% |
70% |
100% |
95% |
88% |
89% |
63% |
| Avg Max Increase |
3.22% |
3.85% |
8.02% |
6.26% |
4.55% |
4.88% |
4.60% |
4.79% |
4.35% |
4.54% |
2.92% |
| Max Increase |
6.77% |
11.95% |
21.24% |
13.90% |
8.88% |
12.26% |
13.77% |
17.57% |
11.82% |
13.48% |
11.19% |
| Avg Days To Max Increase |
12 |
17 |
19 |
15 |
17 |
18 |
13 |
18 |
16 |
11 |
12 |
| Avg Max Decline |
-0.30% |
-1.07% |
-0.95% |
-0.88% |
-0.40% |
-1.18% |
-0.56% |
-1.07% |
-0.95% |
-0.98% |
-0.64% |
| Max Decline |
-1.75% |
-2.31% |
-3.17% |
-2.25% |
-1.47% |
-4.65% |
-1.75% |
-3.02% |
-2.56% |
-3.07% |
-1.52% |
| Avg Days to Max Decline |
4 |
11 |
6 |
9 |
5 |
12 |
4 |
7 |
6 |
6 |
3 |
| 2009 Contract Condition |
|
|
Yes |
|
|
Yes |
Yes |
Yes |
Yes |
|
|
| Action |
|
|
Yes |
|
|
Yes |
Yes |
Yes |
Not Yet |
|
|
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 |
31 |
31 |
31 |
31 |
31 |
31 |
31 |
31 |
32 |
32 |
32 |
| Closed Lower |
14 |
16 |
19 |
17 |
18 |
8 |
15 |
11 |
15 |
14 |
8 |
| Penetrated Low |
10 |
14 |
14 |
15 |
10 |
5 |
12 |
8 |
9 |
10 |
7 |
| Scenario Percentage |
71% |
88% |
74% |
88% |
56% |
63% |
80% |
73% |
60% |
71% |
88% |
| Avg Max Decline |
5.34% |
3.31% |
4.42% |
3.98% |
3.53% |
5.48% |
4.31% |
6.22% |
4.88% |
2.47% |
8.39% |
| 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 |
19 |
21 |
20 |
15 |
16 |
16 |
18 |
22 |
13 |
11 |
12 |
| Avg Max Increase |
-0.51% |
-1.22% |
-1.32% |
-0.51% |
-1.02% |
-0.91% |
-2.09% |
-1.67% |
-1.44% |
-1.20% |
-2.54% |
| Max Increase |
-2.26% |
-6.13% |
-5.07% |
-1.95% |
-3.14% |
-1.62% |
-5.17% |
-5.05% |
-5.70% |
-3.56% |
-3.52% |
| Avg Days to Max Increase |
12 |
12 |
12 |
5 |
5 |
6 |
9 |
11 |
7 |
10 |
10 |
| 2009 Contract Condition |
Yes |
Yes |
|
Yes |
Yes |
|
|
|
|
|
|
| Action |
Yes |
Yes |
|
Yes |
Yes |
|
|
|
|
|
|
| High |
135~16 |
125~21 |
127~08 |
128~05 |
120~21 |
117~15 |
120~00 |
119~31 |
121~27 |
|
|
| Low |
123~05 |
120~32 |
120~32 |
120~05 |
113~11 |
110~08 |
113~28 |
113~17 |
117~09 |
|
|
| Close/Last |
123~05 |
120~32 |
127~08 |
120~05 |
116~13 |
117~02 |
117~24 |
119~12 |
121~12 |
|
|
|
|