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MRCI's Scenario Study

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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      
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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 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    

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