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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March 10-Year T-Notes(CBOT) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Feb May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   11 14 20 22 26 26 26 26 26 26 26
Closed Higher   5 7 14 13 18 21 17 14 17 18 14
Exceeded High   5 7 10 12 16 20 16 14 16 13 12
Scenario Percentage   100% 100% 71% 92% 89% 95% 94% 100% 94% 72% 86%
Avg Max Increase   4.42% 2.65% 2.96% 3.14% 3.72% 2.84% 2.84% 2.54% 3.13% 2.76% 1.61%
Max Increase   9.87% 5.99% 5.18% 9.68% 12.83% 7.97% 7.51% 5.26% 8.15% 9.27% 3.99%
Avg Days To Max Increase   11 18 20 15 16 16 14 15 19 11 10
Avg Max Decline   -0.09% 0.02% -0.56% -0.20% -0.56% -0.52% -0.61% -0.75% -1.07% -0.68% -0.30%
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 11 7 8 8 8 7 4
2008 Contract Condition         Yes Yes Yes Yes Yes Yes Yes Yes
Action         Yes 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 Feb Feb May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   11 14 20 22 26 26 26 26 26 26 26
Closed Lower   6 7 5 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% 40% 67% 63% 60% 89% 75% 78% 63% 100%
Avg Max Decline   3.17% 2.20% 3.53% 2.15% 2.56% 3.06% 1.85% 1.85% 2.45% 1.72% 1.41%
Max Decline   6.91% 5.27% 6.46% 5.88% 8.03% 4.52% 2.99% 4.16% 4.53% 2.13% 2.52%
Avg Days To Max Decline   12 17 9 17 19 12 13 8 25 11 11
Avg Max Increase   -0.10% -0.71% -0.33% -0.72% -0.73% -0.36% -0.45% -0.75% -1.02% -0.90% -0.44%
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 4
2008 Contract Condition       Yes                
Action       No                
High     108~055 106~000 107~060 109~110 110~190 110~245 114~090 114~105 119~050 118~265
Low     106~105 103~200 104~000 106~150 108~000 107~260 109~135 111~160 113~020 115~035
Close/Last     106~105 105~085 107~010 108~240 108~255 109~205 113~065 113~125 116~230 118~220

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