MRCI's ScenarioSM Study

ScenarioSM Study for March 10-Year T-Notes(CBOT) as of Jan 01, 2008
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	11	14	19	21	25	25	25	25	25	25	25
Closed Higher	5	7	14	12	17	20	16	13	16	17	13
Exceeded High	5	7	10	11	15	19	15	13	15	12	11
Scenario Percentage	100%	100%	71%	92%	88%	95%	94%	100%	94%	71%	85%
Avg Max Increase	4.42%	2.65%	2.96%	3.13%	3.84%	2.72%	2.75%	2.33%	3.00%	2.63%	1.40%
Max Increase	9.87%	5.99%	5.18%	9.68%	12.83%	7.97%	7.51%	4.87%	8.15%	9.27%	2.73%
Avg Days To Max Increase	11	18	20	15	15	16	15	15	18	11	10
Avg Max Decline	-0.09%	0.02%	-0.56%	-0.17%	-0.54%	-0.50%	-0.64%	-0.69%	-1.12%	-0.63%	-0.37%
Max Decline	-0.35%	-0.99%	-2.04%	-0.88%	-1.70%	-1.38%	-2.27%	-2.19%	-3.13%	-1.47%	-1.34%
Avg Days to Max Decline	4	7	9	4	9	7	9	7	9	6	4
2007 Contract Condition			Yes	Yes	Yes	Yes	Yes	Yes			Yes
Action			Yes	Yes	Yes	Yes	Yes	Yes			Yes

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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	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years	11	14	19	21	25	25	25	25	25	25	25
Closed Lower	6	7	4	9	8	5	9	12	9	8	12
Penetrated Low	4	4	2	6	5	3	8	9	7	5	12
Scenario Percentage	67%	57%	50%	67%	62%	60%	89%	75%	78%	62%	100%
Avg Max Decline	3.17%	2.20%	3.53%	2.15%	2.56%	3.06%	1.85%	1.85%	2.45%	1.72%	4.12%
Max Decline	6.91%	5.27%	6.46%	5.88%	8.03%	4.52%	2.99%	4.16%	4.53%	2.13%	11.99%
Avg Days To Max Decline	12	17	9	17	19	12	13	8	25	11	16
Avg Max Increase	-0.10%	-0.71%	-0.33%	-0.72%	-0.73%	-0.36%	-0.45%	-0.75%	-1.02%	-0.90%	-0.55%
Max Increase	-0.49%	-1.37%	-0.66%	-2.04%	-1.66%	-0.63%	-1.64%	-1.35%	-3.95%	-1.61%	-1.29%
Avg Days to Max Increase	19	9	4	5	11	6	9	4	11	7	7
2007 Contract Condition	Yes	Yes							Yes	Yes
Action	Yes	Yes							Yes	Not Yet
High	106~140	105~120	105~270	105~315	107~130	108~240	108~200	109~070	109~210	108~105	109~075
Low	104~285	104~105	104~000	104~075	105~255	106~195	106~205	107~125	107~115	106~065	106~180
Close/Last	105~105	104~230	104~290	105~315	107~130	108~035	108~100	109~060	107~150	106~240	108~180