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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, 2010
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 10 14 21 24 26 28 28 28 28 28 28
Closed Higher 7 5 8 10 10 20 18 20 22 18 16
Exceeded High 5 4 4 8 10 15 18 19 21 16 12
Scenario Percentage 71% 80% 50% 80% 100% 75% 100% 95% 95% 89% 75%
Avg Max Increase 4.38% 2.76% 5.41% 4.54% 3.31% 3.68% 3.48% 3.50% 2.84% 2.63% 1.86%
Max Increase 12.00% 6.46% 8.72% 10.35% 6.31% 8.15% 10.09% 13.27% 8.27% 6.50% 6.43%
Avg Days To Max Increase 14 11 27 12 18 19 15 14 17 8 9
Avg Max Decline -0.56% -0.39% -0.37% -0.41% -0.09% -0.66% -0.64% -0.66% -0.65% -0.62% -0.33%
Max Decline -1.17% -1.33% -0.93% -1.17% -0.60% -2.26% -2.27% -1.72% -1.40% -1.32% -1.01%
Avg Days to Max Decline 7 4 7 8 6 11 6 8 8 6 2
2009 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 10 14 21 24 26 28 28 28 28 28 28
Closed Lower 3 9 13 14 16 8 10 8 6 10 12
Penetrated Low 3 7 10 12 9 4 7 4 4 6 8
Scenario Percentage 100% 78% 77% 86% 56% 50% 70% 50% 67% 60% 67%
Avg Max Decline 1.76% 2.78% 3.44% 3.57% 2.41% 4.23% 2.17% 2.86% 3.02% 1.62% 3.26%
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 15 19 16 16 16 11 14 18 10 9 10
Avg Max Increase -0.79% -0.36% -0.50% -0.06% -0.45% -0.52% -0.81% -0.95% -1.12% -0.44% -0.76%
Max Increase -1.37% -1.12% -1.22% -0.67% -1.39% -0.95% -2.86% -1.65% -3.00% -1.50% -1.30%
Avg Days to Max Increase 7 9 11 10 6 7 5 11 6 7 6
2009 Contract Condition Yes Yes   Yes Yes Yes          
Action Yes No   Yes Yes No          
High 122~240 120~175 123~105 122~090 119~145 116~095 117~160 117~300 118~165 119~290 121~215
Low 118~225 117~135 118~010 118~210 115~000 111~235 114~025 113~065 116~180 116~280 117~175
Close/Last 118~225 118~010 122~025 118~210 116~095 114~280 115~265 117~070 118~105 118~195 121~055

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