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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 Dec 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   13 16 22 24 28 28 28 28 28 28 28
Closed Higher   5 7 15 15 20 22 18 16 18 19 15
Exceeded High   5 7 11 14 18 21 17 15 16 14 13
Scenario Percentage   100% 100% 73% 93% 90% 95% 94% 94% 89% 74% 87%
Avg Max Increase   4.42% 2.65% 2.95% 3.18% 3.58% 2.84% 2.84% 2.80% 3.13% 2.63% 1.52%
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 16 15 17 15 15 19 11 11
Avg Max Decline   -0.09% 0.02% -0.58% -0.35% -0.54% -0.55% -0.63% -0.71% -1.07% -0.71% -0.30%
Max Decline   -0.35% -0.99% -2.04% -2.11% -1.70% -1.38% -2.27% -2.19% -3.13% -1.47% -1.34%
Avg Days to Max Decline   4 7 10 4 11 8 8 8 8 7 4
2010 Contract Condition         Yes Yes Yes Yes Yes   Yes Yes
Action         Yes Yes Yes Yes No   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   13 16 22 24 28 28 28 28 28 28 28
Closed Lower   8 9 6 9 8 6 10 12 10 9 13
Penetrated Low   6 6 2 6 5 4 8 9 7 6 12
Scenario Percentage   75% 67% 33% 67% 63% 67% 80% 75% 70% 67% 92%
Avg Max Decline   3.60% 2.32% 3.53% 2.15% 2.56% 3.10% 1.85% 1.85% 2.45% 1.65% 1.45%
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 15 9 17 19 13 13 8 25 14 13
Avg Max Increase   -0.24% -0.71% -0.33% -0.72% -0.73% -0.99% -0.45% -0.75% -1.02% -1.03% -0.44%
Max Increase   -0.68% -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   16 7 4 5 11 6 9 4 11 9 4
2010 Contract Condition   Yes Yes Yes           Yes    
Action   Yes Yes No           No    
High 122~105 121~090 118~145 115~095 116~105 116~070 117~050 118~135 120~150 119~315 118~140 118~305
Low 117~010 117~210 114~075 110~290 113~180 112~130 115~125 115~190 116~065 114~285 114~310 116~285
Close/Last 121~025 117~210 115~095 113~280 114~265 116~070 116~310 117~075 119~300 115~145 118~050 118~290

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