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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, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 9 12 19 22 24 26 26 26 26 26 26
Closed Higher 7 5 6 10 10 19 16 18 21 17 14
Exceeded High 5 4 4 8 10 14 16 17 20 15 10
Scenario Percentage 71% 80% 67% 80% 100% 74% 100% 94% 95% 88% 71%
Avg Max Increase 4.38% 2.76% 5.41% 4.54% 3.31% 3.74% 3.45% 3.59% 2.84% 2.62% 1.53%
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 15 15 16 8 9
Avg Max Decline -0.56% -0.39% -0.37% -0.41% -0.09% -0.64% -0.54% -0.67% -0.62% -0.60% -0.32%
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 8 7 6 2
2007 Contract Condition       Yes     Yes Yes Yes Yes Yes
Action       No     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 Feb Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 9 12 19 22 24 26 26 26 26 26 26
Closed Lower 2 7 13 12 14 7 10 8 5 9 12
Penetrated Low 2 7 10 10 7 4 7 4 3 6 8
Scenario Percentage 100% 100% 77% 83% 50% 57% 70% 50% 60% 67% 67%
Avg Max Decline 2.10% 2.78% 3.44% 3.38% 2.36% 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 16 17 18 11 14 18 8 9 9
Avg Max Increase -0.75% -0.36% -0.50% 0.03% -0.38% -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 11 10 7 7 5 11 5 7 6
2007 Contract Condition     Yes   Yes Yes          
Action     Yes   Yes No          
High   108~215 109~045 108~150 108~120 106~065 107~220 109~155 110~310 111~065 114~310
Low   108~200 108~075 107~120 106~065 103~040 104~080 106~120 108~125 108~065 109~235
Close/Last   108~215 108~075 108~100 106~105 105~150 107~085 109~015 109~090 110~005 113~295

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