|
 |
| 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 |
|
|
|
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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|
