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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, 2013
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   15 18 24 26 30 30 30 30 30 30 30
Closed Higher   7 9 16 17 22 24 19 17 19 21 15
Exceeded High   7 9 12 16 20 22 18 16 17 15 13
Scenario Percentage   100% 100% 75% 94% 91% 92% 95% 94% 89% 71% 87%
Avg Max Increase   4.51% 2.82% 3.06% 3.39% 3.43% 2.78% 2.76% 2.77% 3.00% 2.58% 1.50%
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   16 21 21 17 15 16 14 16 19 11 10
Avg Max Decline   -0.12% -0.14% -0.59% -0.32% -0.59% -0.57% -0.60% -0.70% -1.06% -0.84% -0.30%
Max Decline   -0.40% -0.99% -2.04% -2.11% -2.14% -1.38% -2.27% -2.19% -3.13% -2.57% -1.34%
Avg Days to Max Decline   3 9 11 4 10 9 8 7 9 8 4
2012 Contract Condition   Yes Yes   Yes Yes Yes   Yes Yes Yes  
Action   Yes Yes   Yes Yes No   Yes Yes Not Yet  
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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   15 18 24 26 30 30 30 30 30 30 30
Closed Lower   8 9 7 9 8 6 11 13 11 9 15
Penetrated Low   6 6 3 6 5 4 8 10 8 6 13
Scenario Percentage   75% 67% 43% 67% 63% 67% 73% 77% 73% 67% 87%
Avg Max Decline   3.60% 2.32% 2.45% 2.15% 2.56% 3.10% 1.85% 2.11% 2.43% 1.65% 1.51%
Max Decline   6.91% 5.27% 6.46% 5.88% 8.03% 4.52% 2.99% 4.49% 4.53% 2.13% 2.52%
Avg Days To Max Decline   12 15 6 17 19 13 13 9 23 14 12
Avg Max Increase   -0.24% -0.71% -0.22% -0.72% -0.73% -0.99% -0.45% -0.68% -1.00% -1.03% -0.41%
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 3 5 11 6 9 4 11 9 5
2012 Contract Condition       Yes       Yes       Yes
Action       Yes       No       Yes
High 117~260 117~220 120~195 122~115 123~120 128~275 131~050 130~160 130~200 131~140 132~110 132~105
Low 114~170 114~275 117~220 119~265 119~150 123~120 128~010 126~070 128~070 128~200 129~260 130~120
Close/Last 115~180 117~220 120~195 119~265 123~120 128~010 129~125 128~070 129~110 131~040 132~080 131~085

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