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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, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   12 14 21 23 25 25 25 26 26 26 26
Closed Higher   6 10 15 16 14 18 18 14 9 12 10
Exceeded High   5 9 15 13 14 16 13 12 5 12 10
Scenario Percentage   83% 90% 100% 81% 100% 89% 72% 86% 56% 100% 100%
Avg Max Increase   3.88% 3.65% 2.92% 3.24% 2.44% 3.14% 2.96% 2.35% 4.92% 3.60% 1.96%
Max Increase   9.06% 11.62% 7.59% 7.76% 4.90% 8.72% 11.48% 6.91% 9.31% 10.46% 3.23%
Avg Days To Max Increase   11 14 19 16 16 19 13 12 21 10 11
Avg Max Decline   -0.42% -0.32% -0.23% -0.30% -0.60% -0.94% -0.64% -0.53% -0.58% -0.51% -0.22%
Max Decline   -0.88% -1.51% -1.14% -1.32% -2.12% -3.16% -1.69% -1.61% -1.43% -1.24% -0.64%
Avg Days to Max Decline   4 11 6 7 6 9 7 5 6 6 2
2008 Contract Condition   Yes Yes Yes Yes Yes Yes Yes Yes Yes    
Action   Yes Yes Yes Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   12 14 21 23 25 25 25 26 26 26 26
Closed Lower   6 3 6 7 11 7 7 12 16 13 15
Penetrated Low   3 1 3 7 8 5 5 12 11 12 7
Scenario Percentage   50% 33% 50% 100% 73% 71% 71% 100% 69% 92% 47%
Avg Max Decline   1.26% 0.13% 2.69% 1.67% 1.41% 2.15% 2.00% 2.50% 3.32% 2.87% 1.62%
Max Decline   1.59% 0.13% 4.16% 2.56% 4.08% 4.57% 2.62% 5.76% 8.91% 6.51% 2.33%
Avg Days To Max Decline   12 5 11 9 7 26 19 17 19 15 10
Avg Max Increase   -0.31% -0.20% -0.30% -0.10% -0.63% -1.35% -0.86% -0.43% -0.93% -0.40% -0.61%
Max Increase   -1.04% -0.20% -0.49% -1.61% -1.41% -3.63% -1.59% -1.27% -3.49% -1.78% -1.80%
Avg Days to Max Increase   3 3 12 6 5 14 7 6 14 4 3
2008 Contract Condition                     Yes Yes
Action                     Yes Yes
High 105~010 106~305 108~300 110~080 110~080 113~210 113~195 118~030 117~140 120~010 119~030 116~130
Low 104~160 103~270 106~075 107~300 107~215 110~015 110~090 113~140 113~250 116~055 114~200 113~040
Close/Last 105~010 106~255 108~175 108~190 109~085 112~185 112~225 115~235 117~090 118~305 115~260 113~305

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