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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 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   13 16 23 25 29 29 30 30 31 31 31
Closed Higher   8 12 14 18 13 9 14 14 20 20 23
Exceeded High   7 9 12 13 12 5 13 14 15 19 18
Scenario Percentage   88% 75% 86% 72% 92% 56% 93% 100% 75% 95% 78%
Avg Max Increase   2.97% 3.16% 3.11% 2.61% 1.66% 4.89% 4.27% 3.13% 3.71% 3.13% 1.65%
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   16 19 16 12 16 24 15 20 18 11 10
Avg Max Decline   -0.14% -0.55% -0.86% -0.57% -0.91% -0.64% -0.48% -0.39% -0.76% -0.64% -0.46%
Max Decline   -0.84% -2.18% -3.19% -2.77% -2.71% -1.37% -1.32% -1.03% -2.41% -2.24% -1.37%
Avg Days to Max Decline   2 6 11 7 9 6 6 7 11 6 3
2012 Contract Condition     Yes Yes Yes     Yes Yes   Yes Yes
Action     Yes Yes No     Yes Yes   Not Yet 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   13 16 23 25 29 29 30 30 31 31 31
Closed Lower   5 4 9 7 16 19 15 16 11 11 8
Penetrated Low   3 2 7 7 13 14 13 9 6 7 2
Scenario Percentage   60% 50% 78% 100% 81% 74% 87% 56% 55% 64% 25%
Avg Max Decline   1.73% 0.86% 2.06% 2.15% 2.51% 2.93% 3.18% 2.34% 2.90% 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 23 15 18 18 16 16 7 9 7
Avg Max Increase   -0.15% -0.86% -1.27% -0.52% -0.40% -0.82% -0.39% -0.68% -0.70% -0.49% -0.35%
Max Increase   -1.44% -0.88% -3.52% -1.37% -1.18% -3.65% -1.64% -1.83% -1.58% -1.10% -0.43%
Avg Days to Max Increase   9 8 20 5 9 11 7 4 9 4 2
2012 Contract Condition   Yes       Yes Yes     Yes    
Action   No       Yes No     Yes    
High 129~020 128~105 128~180 129~290 131~080 131~080 130~150 131~105 134~100 134~305 135~155 134~295
Low 126~010 124~115 126~070 127~045 128~255 129~160 126~270 127~210 130~235 132~180 133~095 132~050
Close/Last 127~125 126~070 127~110 129~290 131~080 130~000 128~080 131~055 133~300 133~120 134~210 134~240

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