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