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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, 2013
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   16 18 25 27 29 29 29 30 30 30 30
Closed Higher   10 14 18 18 17 20 21 15 10 15 13
Exceeded High   9 13 17 14 16 17 15 12 5 15 12
Scenario Percentage   90% 93% 94% 78% 94% 85% 71% 80% 50% 100% 92%
Avg Max Increase   3.96% 3.19% 2.82% 3.18% 2.67% 3.01% 2.84% 2.35% 4.92% 3.59% 1.83%
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   14 14 19 15 17 18 14 12 21 11 11
Avg Max Decline   -0.55% -0.39% -0.27% -0.33% -0.53% -0.94% -0.81% -0.53% -0.58% -0.47% -0.19%
Max Decline   -2.13% -1.84% -1.16% -1.32% -2.12% -3.16% -2.88% -1.61% -1.43% -1.24% -0.64%
Avg Days to Max Decline   4 10 7 6 5 9 8 5 6 5 1
2012 Contract Condition   Yes Yes Yes   Yes Yes Yes     Yes Yes
Action   Yes Yes No   Yes Yes No     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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   16 18 25 27 29 29 29 30 30 30 30
Closed Lower   6 3 7 9 12 9 8 15 19 14 16
Penetrated Low   3 1 4 7 9 6 6 13 12 13 8
Scenario Percentage   50% 33% 57% 78% 75% 67% 75% 87% 63% 93% 50%
Avg Max Decline   1.26% 0.13% 2.76% 1.67% 1.81% 2.22% 1.88% 2.53% 3.14% 3.06% 1.85%
Max Decline   1.59% 0.13% 4.16% 2.56% 4.97% 4.57% 2.62% 5.76% 8.91% 6.51% 3.48%
Avg Days To Max Decline   12 5 12 9 8 23 17 17 18 14 10
Avg Max Increase   -0.31% -0.20% -0.96% -0.10% -0.56% -1.24% -0.87% -0.40% -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 4 17 6 6 13 4 2
2012 Contract Condition         Yes       Yes Yes    
Action         No       Yes No    
High 121~115 122~120 127~275 130~020 129~105 129~180 130~240 132~050 132~050 131~165 132~170 135~085
Low 118~265 118~150 122~120 127~010 125~115 127~070 128~045 129~160 130~030 127~230 128~245 131~275
Close/Last 118~265 122~120 127~010 128~125 127~070 128~110 130~240 132~030 130~305 129~155 132~090 134~290

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