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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 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   14 16 23 25 27 27 27 28 28 28 28
Closed Higher   8 12 16 17 16 19 19 15 10 13 11
Exceeded High   7 11 16 14 15 16 14 12 5 13 10
Scenario Percentage   88% 92% 100% 82% 94% 84% 74% 80% 50% 100% 91%
Avg Max Increase   3.68% 3.37% 2.90% 3.18% 2.65% 3.14% 2.90% 2.35% 4.92% 3.63% 1.98%
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   10 14 19 15 16 19 14 12 21 11 12
Avg Max Decline   -0.66% -0.30% -0.28% -0.33% -0.56% -0.94% -0.66% -0.53% -0.58% -0.50% -0.22%
Max Decline   -2.13% -1.51% -1.16% -1.32% -2.12% -3.16% -1.69% -1.61% -1.43% -1.24% -0.64%
Avg Days to Max Decline   5 11 7 6 6 9 8 5 6 6 2
2010 Contract Condition   Yes Yes Yes Yes Yes   Yes Yes   Yes Yes
Action   Yes Yes Yes Yes No   Yes No   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   14 16 23 25 27 27 27 28 28 28 28
Closed Lower   6 3 7 8 11 8 8 13 17 14 16
Penetrated Low   3 1 4 7 8 5 6 12 12 13 8
Scenario Percentage   50% 33% 57% 88% 73% 63% 75% 92% 71% 93% 50%
Avg Max Decline   1.26% 0.13% 2.76% 1.67% 1.41% 2.15% 1.88% 2.50% 3.14% 3.06% 1.85%
Max Decline   1.59% 0.13% 4.16% 2.56% 4.08% 4.57% 2.62% 5.76% 8.91% 6.51% 3.48%
Avg Days To Max Decline   12 5 12 9 7 26 17 17 18 14 10
Avg Max Increase   -0.31% -0.20% -0.96% -0.10% -0.63% -1.35% -0.87% -0.43% -0.86% -0.44% -0.52%
Max Increase   -1.04% -0.20% -2.92% -1.61% -1.41% -3.63% -1.59% -1.27% -3.49% -1.78% -1.80%
Avg Days to Max Increase   3 3 10 6 5 14 6 6 13 4 2
2010 Contract Condition             Yes     Yes    
Action             No     Yes    
High 114~095 115~105 115~070 116~015 117~040 118~235 118~235 116~275 119~065 117~225 117~310 122~145
Low 109~290 112~180 111~130 114~260 114~085 115~015 113~195 114~000 115~145 115~090 114~265 117~140
Close/Last 112~280 113~265 115~070 115~195 115~275 118~235 114~015 116~210 117~155 116~080 117~290 120~215

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