Moore Research Center, Inc.

  • Increase font size
  • Default font size
  • Decrease font size
Home MRCI Online
Print
New Windows

MRCI's Scenario Study

MRCI Logo
MRCI's ScenarioSM Study
ScenarioSM Study for September 10-Year T-Notes(CBOT) as of May 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   10 13 20 22 26 26 27 27 28 28 28
Closed Higher   6 9 13 15 12 9 11 11 19 17 20
Exceeded High   5 8 11 11 11 5 10 11 14 17 17
Scenario Percentage   83% 89% 85% 73% 92% 56% 91% 100% 74% 100% 85%
Avg Max Increase   3.20% 3.17% 3.30% 2.90% 1.77% 4.89% 4.28% 3.33% 3.72% 3.09% 1.69%
Max Increase   7.63% 5.70% 8.99% 11.72% 6.75% 9.14% 10.78% 6.35% 7.98% 9.50% 3.28%
Avg Days To Max Increase   22 17 17 13 15 24 14 18 18 11 11
Avg Max Decline   -0.05% -0.60% -0.86% -0.35% -0.79% -0.64% -0.54% -0.25% -0.75% -0.67% -0.49%
Max Decline   -0.84% -2.18% -3.19% -1.16% -2.71% -1.37% -1.32% -0.72% -2.41% -2.24% -1.37%
Avg Days to Max Decline   2 6 10 6 7 6 7 5 11 6 4
2010 Contract Condition   Yes Yes   Yes Yes   Yes Yes Yes    
Action   Yes No   Yes Yes   Yes Not Yet      
Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.
Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   10 13 20 22 26 26 27 27 28 28 28
Closed Lower   4 4 7 7 14 16 15 16 9 11 8
Penetrated Low   3 2 6 7 12 12 13 9 4 7 2
Scenario Percentage   75% 50% 86% 100% 86% 75% 87% 56% 44% 64% 25%
Avg Max Decline   1.73% 0.86% 1.98% 2.15% 2.49% 3.21% 3.18% 2.34% 3.98% 2.13% 2.17%
Max Decline   2.29% 1.10% 4.22% 4.63% 5.93% 9.11% 6.90% 4.91% 6.67% 5.63% 3.68%
Avg Days To Max Decline   17 4 25 15 18 20 16 16 7 9 7
Avg Max Increase   -0.15% -0.86% -1.38% -0.52% -0.44% -0.93% -0.39% -0.68% -0.54% -0.49% -0.35%
Max Increase   -1.44% -0.88% -3.52% -1.37% -1.18% -3.65% -1.64% -1.83% -0.95% -1.10% -0.43%
Avg Days to Max Increase   9 8 21 5 9 13 7 4 7 4 2
2010 Contract Condition       Yes     Yes          
Action       No     Yes          
High 115~015 115~265 117~170 117~170 115~050 116~020 116~020 116~210 121~205 120~170    
Low 113~260 112~275 113~210 112~205 112~205 114~095 114~000 113~150 116~050 119~185    
Close/Last 114~080 114~155 117~170 112~205 115~050 116~020 114~260 116~200 119~280 119~285    

Banner

Login

Newsflash

Quotes and Charts! https://www.mrci.com/ohlc/ohlc-all.php

MRCI is delighted to provide our new Futures SuperCharts via End-of-Day Commodity Quotes pages.

There are now links not only to the Nearby Weekly and Monthly charts for each particular commodity but also to the daily Superchart for each delivery month --- over which you can even hover!

No more toggling from one section to another.  Now MRCI's tables of daily OHLC, volume, and open interest data offer you immediate access to the relevant charts

--- all in one place and at your fingertips.  Try it --- you'll like it!

To learn more about the features of Futures SuperCharts, please visit: https://www.mrci.com/tutorials/supercharts.pdf