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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 Apr 30, 2011
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   11 14 21 23 27 27 28 28 29 29 29
Closed Higher   7 10 13 16 13 9 12 12 20 18 21
Exceeded High   6 8 11 12 12 5 11 12 15 18 17
Scenario Percentage   86% 80% 85% 75% 92% 56% 92% 100% 75% 100% 81%
Avg Max Increase   3.11% 3.17% 3.30% 2.73% 1.66% 4.89% 4.38% 3.33% 3.71% 3.05% 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   18 17 17 12 16 24 16 19 18 12 11
Avg Max Decline   -0.16% -0.60% -0.86% -0.39% -0.91% -0.64% -0.52% -0.30% -0.76% -0.65% -0.49%
Max Decline   -0.84% -2.18% -3.19% -1.16% -2.71% -1.37% -1.32% -0.89% -2.41% -2.24% -1.37%
Avg Days to Max Decline   2 6 10 7 9 6 7 5 11 6 4
2011 Contract Condition   Yes Yes   Yes     Yes Yes      
Action   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   11 14 21 23 27 27 28 28 29 29 29
Closed Lower   4 4 8 7 14 17 15 16 9 11 8
Penetrated Low   3 2 6 7 12 13 13 9 4 7 2
Scenario Percentage   75% 50% 75% 100% 86% 76% 87% 56% 44% 64% 25%
Avg Max Decline   1.73% 0.86% 1.98% 2.15% 2.49% 3.06% 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 19 16 16 7 9 7
Avg Max Increase   -0.15% -0.86% -1.38% -0.52% -0.44% -0.86% -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 12 7 4 7 4 2
2011 Contract Condition       Yes   Yes Yes          
Action       Yes   No Yes          
High 120~205 122~260 124~080 122~025 118~280 118~140 119~295 119~230 119~310      
Low 117~090 120~075 121~100 116~230 116~315 115~050 116~160 116~015 119~185      
Close/Last 120~075 121~215 122~025 118~045 118~140 117~285 117~180 119~220 119~250      

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