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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 10-Year T-Notes(CBOT) as of Jan 01, 2007
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 9 12 18 21 23 25 25 25 25 25 25
Closed Higher 7 5 6 9 10 19 15 17 20 16 13
Exceeded High 5 4 4 8 10 14 15 16 19 14 9
Scenario Percentage 71% 80% 67% 89% 100% 74% 100% 94% 95% 88% 69%
Avg Max Increase 4.38% 2.76% 5.41% 4.54% 3.31% 3.74% 3.45% 3.69% 2.72% 2.49% 1.59%
Max Increase 12.00% 6.46% 8.72% 10.35% 6.31% 8.15% 10.09% 13.27% 8.27% 6.50% 3.69%
Avg Days To Max Increase 14 11 27 12 18 18 16 14 16 8 9
Avg Max Decline -0.56% -0.39% -0.37% -0.41% -0.09% -0.64% -0.52% -0.67% -0.60% -0.62% -0.36%
Max Decline -1.17% -1.33% -0.93% -1.17% -0.60% -2.26% -1.65% -1.72% -1.40% -1.32% -1.01%
Avg Days to Max Decline 7 4 7 8 6 10 6 5 7 6 2
2006 Contract Condition           Yes Yes Yes Yes Yes Yes
Action           Yes Yes Yes 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 9 12 18 21 23 25 25 25 25 25 25
Closed Lower 2 7 12 12 13 6 10 8 5 9 12
Penetrated Low 2 7 9 10 6 4 7 4 3 6 8
Scenario Percentage 100% 100% 75% 83% 46% 67% 70% 50% 60% 67% 67%
Avg Max Decline 2.10% 2.78% 3.61% 3.38% 2.25% 4.23% 2.17% 2.86% 3.08% 1.62% 3.22%
Max Decline 2.51% 6.28% 9.03% 6.70% 5.16% 7.37% 5.91% 8.15% 4.65% 2.81% 9.60%
Avg Days To Max Decline 19 19 14 17 18 11 14 18 8 9 9
Avg Max Increase -0.75% -0.36% -0.53% 0.03% -0.47% -0.52% -0.81% -0.95% -0.50% -0.44% -0.74%
Max Increase -1.37% -1.12% -1.22% -0.61% -1.32% -0.95% -2.86% -1.65% -0.79% -1.50% -1.30%
Avg Days to Max Increase 10 9 9 10 9 7 5 11 5 7 6
2006 Contract Condition Yes Yes Yes Yes Yes            
Action Yes Yes Yes Yes Yes            
High 109~060 108~080 107~265 106~140 105~180 105~310 106~005 107~130 108~240 108~215 109~045
Low 108~035 107~150 106~090 104~235 104~105 103~310 104~010 105~240 106~175 106~190 107~100
Close/Last 108~035 108~010 106~130 105~105 104~230 104~240 106~000 107~120 108~020 108~070 109~035

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