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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 10-Year T-Notes(CBOT) as of Jan 01, 2008
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 Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 11 13 20 22 24 24 24 25 25 25 25
Closed Higher 5 9 14 15 13 17 17 13 8 12 10
Exceeded High 4 8 14 12 13 15 12 11 5 12 10
Scenario Percentage 80% 89% 100% 80% 100% 88% 71% 85% 62% 100% 100%
Avg Max Increase 4.04% 3.91% 2.79% 3.17% 2.25% 3.03% 2.90% 2.23% 4.92% 3.61% 1.98%
Max Increase 9.06% 11.62% 7.59% 7.76% 4.84% 8.72% 11.48% 6.91% 9.31% 10.46% 3.23%
Avg Days To Max Increase 11 13 18 15 15 19 13 12 21 10 12
Avg Max Decline -0.39% -0.26% -0.18% -0.39% -0.49% -1.05% -0.55% -0.61% -0.58% -0.51% -0.22%
Max Decline -0.88% -1.51% -1.14% -1.32% -2.12% -3.16% -1.33% -1.61% -1.43% -1.24% -0.64%
Avg Days to Max Decline 3 7 5 7 5 9 6 6 6 6 2
2007 Contract Condition       Yes Yes     Yes   Yes  
Action       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 Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 11 13 20 22 24 24 24 25 25 25 25
Closed Lower 6 3 6 7 11 7 7 12 16 12 14
Penetrated Low 3 1 3 7 8 5 5 12 11 11 9
Scenario Percentage 50% 33% 50% 100% 73% 71% 71% 100% 69% 92% 64%
Avg Max Decline 1.26% 0.13% 2.69% 1.67% 1.41% 2.15% 2.00% 2.50% 3.32% 2.88% 4.70%
Max Decline 1.59% 0.13% 4.16% 2.56% 4.08% 4.57% 2.62% 5.76% 8.91% 6.51% 15.40%
Avg Days To Max Decline 12 5 11 9 7 26 19 17 19 15 16
Avg Max Increase -0.31% -0.20% -0.30% -0.10% -0.63% -1.35% -0.86% -0.43% -0.93% -0.39% -1.26%
Max Increase -1.04% -0.20% -0.49% -1.61% -1.41% -3.63% -1.59% -1.27% -3.49% -1.78% -4.53%
Avg Days to Max Increase 3 3 12 6 5 14 7 6 14 3 6
2007 Contract Condition           Yes Yes   Yes   Yes
Action           Yes No   Yes   Yes
High     108~205 108~200 109~090 109~220 108~120 109~100 109~115 108~140 108~160
Low     106~270 106~230 107~170 107~140 106~065 106~185 107~285 107~055 106~065
Close/Last     108~035 108~100 109~085 107~155 106~230 108~190 108~040 108~105 106~125

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The focus on a single market each month can provide you more in-depth knowledge of how it trades. What if you knew such things as ...
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(2)  how often it tends to close higher/lower by day of week
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