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