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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, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 13 15 22 24 26 26 26 27 27 27 27
Closed Higher 7 11 15 16 15 19 18 14 10 12 10
Exceeded High 6 10 15 13 15 16 13 12 5 12 10
Scenario Percentage 86% 91% 100% 81% 100% 84% 72% 86% 50% 100% 100%
Avg Max Increase 3.97% 3.55% 2.92% 3.24% 2.65% 3.14% 2.96% 2.35% 4.92% 3.60% 1.96%
Max Increase 9.06% 11.62% 7.59% 7.76% 5.65% 8.72% 11.48% 6.91% 9.31% 10.46% 3.23%
Avg Days To Max Increase 12 14 19 16 16 19 13 12 21 10 11
Avg Max Decline -0.42% -0.29% -0.23% -0.30% -0.56% -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 10 6 7 6 9 7 5 6 6 2
2009 Contract Condition Yes Yes     Yes Yes     Yes    
Action Yes Yes     Yes No     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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 13 15 22 24 26 26 26 27 27 27 27
Closed Lower 6 3 7 8 11 7 8 13 16 14 16
Penetrated Low 3 1 4 7 8 5 6 12 11 13 11
Scenario Percentage 50% 33% 57% 88% 73% 71% 75% 92% 69% 93% 69%
Avg Max Decline 1.26% 0.13% 2.76% 1.67% 1.41% 2.15% 1.88% 2.50% 3.32% 3.06% 5.04%
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 12 9 7 26 17 17 19 14 17
Avg Max Increase -0.31% -0.20% -0.96% -0.10% -0.63% -1.35% -0.87% -0.43% -0.93% -0.44% -1.18%
Max Increase -1.04% -0.20% -2.92% -1.61% -1.41% -3.63% -1.59% -1.27% -3.49% -1.78% -4.53%
Avg Days to Max Increase 3 3 10 6 5 14 6 6 14 4 5
2009 Contract Condition     Yes Yes     Yes Yes   Yes Yes
Action     Yes No     Yes No   Yes Yes
High 112~145 113~255 116~150 115~230 119~310 126~240 125~110 122~285 126~040 124~180 122~020
Low 109~230 111~040 112~050 109~035 110~015 119~310 120~175 119~060 120~010 120~160 116~300
Close/Last 111~180 113~160 112~140 110~015 119~310 124~090 120~225 120~010 124~025 120~300 118~200

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