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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, 2014
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   14 17 24 26 30 30 31 31 32 32 32
Closed Higher   8 13 14 18 14 9 15 14 20 20 23
Exceeded High   7 10 12 13 13 5 14 14 15 19 18
Scenario Percentage   88% 77% 86% 72% 93% 56% 93% 100% 75% 95% 78%
Avg Max Increase   2.97% 2.86% 3.11% 2.61% 1.62% 4.89% 3.99% 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 18 16 12 17 24 14 20 18 11 10
Avg Max Decline   -0.14% -0.51% -0.86% -0.57% -0.92% -0.64% -0.44% -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 5 11 7 9 6 6 7 11 6 3
2013 Contract Condition     Yes     Yes   Yes        
Action     Yes     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   14 17 24 26 30 30 31 31 32 32 32
Closed Lower   6 4 10 8 16 20 15 17 12 12 9
Penetrated Low   3 2 8 8 13 15 13 10 7 8 3
Scenario Percentage   50% 50% 80% 100% 81% 75% 87% 59% 58% 67% 33%
Avg Max Decline   1.73% 0.86% 1.99% 1.90% 2.51% 2.86% 3.18% 2.49% 2.78% 2.17% 1.98%
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 20 13 18 19 16 16 10 9 7
Avg Max Increase   -0.15% -0.86% -1.11% -0.45% -0.40% -0.86% -0.39% -0.71% -0.69% -0.48% -0.23%
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 18 5 9 13 7 5 10 5 2
2013 Contract Condition   Yes   Yes Yes   Yes   Yes Yes Yes Yes
Action   No   Yes Yes   Yes   Yes Yes Yes Yes
High 132~050 132~105 132~275 133~010 131~295 131~175 131~250 132~285 133~000 130~150 127~100 126~315
Low 130~065 130~140 131~090 131~030 130~015 129~310 130~065 131~000 128~195 125~005 124~115 124~000
Close/Last 132~015 131~200 132~255 131~295 130~045 131~175 131~035 132~190 129~070 126~180 126~140 125~110

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