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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, 2010
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 12 15 21 23 27 27 27 27 27 27 27
Closed Higher 5 7 15 14 19 21 17 15 18 18 14
Exceeded High 5 7 11 13 17 20 16 15 16 13 12
Scenario Percentage 100% 100% 73% 93% 89% 95% 94% 100% 89% 72% 86%
Avg Max Increase 4.42% 2.65% 2.95% 3.27% 3.68% 2.84% 2.84% 2.80% 3.13% 2.76% 1.61%
Max Increase 9.87% 5.99% 5.18% 9.68% 12.83% 7.97% 7.51% 6.39% 8.15% 9.27% 3.99%
Avg Days To Max Increase 11 18 21 15 16 16 14 15 19 11 10
Avg Max Decline -0.09% 0.02% -0.58% -0.21% -0.53% -0.52% -0.61% -0.71% -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 10 4 10 7 8 8 8 7 4
2009 Contract Condition     Yes Yes Yes     Yes Yes    
Action     Yes Yes Yes     Yes No    
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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 12 15 21 23 27 27 27 27 27 27 27
Closed Lower 7 8 5 9 8 6 10 12 9 9 13
Penetrated Low 5 5 2 6 5 4 8 9 7 6 12
Scenario Percentage 71% 62% 40% 67% 62% 67% 80% 75% 78% 67% 92%
Avg Max Decline 3.17% 2.02% 3.53% 2.15% 2.56% 3.10% 1.85% 1.85% 2.45% 1.65% 4.09%
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 16 9 17 19 13 13 8 25 14 16
Avg Max Increase -0.15% -0.85% -0.33% -0.72% -0.73% -0.99% -0.45% -0.75% -1.02% -1.03% -0.55%
Max Increase -0.49% -1.40% -0.66% -2.04% -1.66% -2.89% -1.64% -1.35% -3.95% -1.72% -1.29%
Avg Days to Max Increase 17 8 4 5 11 6 9 4 11 9 7
2009 Contract Condition Yes Yes       Yes Yes     Yes Yes
Action Yes Yes       Yes No     Yes Yes
High 115~085 112~245 111~255 113~145 114~255 118~000 116~230 121~055 128~225 127~165 124~250
Low 111~170 110~000 108~270 110~230 112~075 113~000 109~250 111~015 120~255 122~110 121~025
Close/Last 112~130 110~080 111~210 112~180 114~160 113~140 111~015 120~310 125~240 122~215 121~225

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