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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 Dec 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   11 15 22 25 27 29 29 29 29 29 29
Closed Higher   8 6 8 11 11 21 19 21 23 19 16
Exceeded High   6 5 4 9 11 16 19 20 22 17 12
Scenario Percentage   75% 83% 50% 82% 100% 76% 100% 95% 96% 89% 75%
Avg Max Increase   3.80% 2.30% 5.41% 4.67% 3.34% 3.68% 3.44% 3.41% 2.78% 2.56% 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   12 15 27 14 19 19 16 14 16 7 9
Avg Max Decline   -0.58% -0.77% -0.37% -0.41% -0.12% -0.67% -0.62% -0.74% -0.65% -0.59% -0.33%
Max Decline   -1.17% -2.30% -0.93% -1.17% -0.60% -2.26% -2.27% -2.14% -1.40% -1.32% -1.01%
Avg Days to Max Decline   8 11 7 7 6 11 6 8 9 6 2
2010 Contract Condition   Yes Yes   Yes Yes Yes Yes Yes Yes Yes  
Action   Yes Yes   Yes 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   11 15 22 25 27 29 29 29 29 29 29
Closed Lower   3 9 14 14 16 8 10 8 6 10 13
Penetrated Low   3 7 11 12 9 4 7 4 4 6 8
Scenario Percentage   100% 78% 79% 86% 56% 50% 70% 50% 67% 60% 62%
Avg Max Decline   1.76% 2.78% 3.24% 3.57% 2.41% 4.23% 2.17% 2.86% 3.02% 1.62% 1.89%
Max Decline   2.51% 6.28% 9.03% 6.70% 5.16% 7.37% 5.91% 8.15% 4.65% 2.81% 4.24%
Avg Days To Max Decline   15 19 15 16 16 11 14 18 10 9 10
Avg Max Increase   -0.79% -0.36% -0.45% -0.06% -0.45% -0.52% -0.81% -0.95% -1.12% -0.44% -0.52%
Max Increase   -1.37% -1.12% -1.22% -0.67% -1.39% -0.95% -2.86% -1.65% -3.00% -1.50% -1.13%
Avg Days to Max Increase   7 9 10 10 6 7 5 11 6 7 4
2010 Contract Condition       Yes               Yes
Action       Yes               Yes
High 116~105 113~210 114~205 114~205 115~060 120~125 121~245 122~310 126~025 126~155 127~220 128~010
Low 111~075 111~075 112~270 112~215 112~000 114~235 118~030 120~170 122~160 122~300 125~015 124~015
Close/Last 111~075 113~210 114~205 113~120 115~060 118~205 121~185 122~295 125~200 126~015 126~090 125~015

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