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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 30, 2011
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   12 16 23 26 28 30 30 30 30 30 30
Closed Higher   9 6 8 12 12 21 20 22 24 19 17
Exceeded High   7 5 4 10 12 16 20 21 22 17 13
Scenario Percentage   78% 83% 50% 83% 100% 76% 100% 95% 92% 89% 76%
Avg Max Increase   3.45% 2.30% 5.41% 4.62% 3.26% 3.68% 3.58% 3.36% 2.78% 2.56% 1.84%
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 15 20 19 16 14 16 7 10
Avg Max Decline   -0.89% -0.77% -0.37% -0.36% -0.20% -0.67% -0.61% -0.72% -0.65% -0.59% -0.34%
Max Decline   -2.70% -2.30% -0.93% -1.17% -1.03% -2.26% -2.27% -2.14% -1.40% -1.32% -1.01%
Avg Days to Max Decline   8 11 7 7 8 11 6 8 9 6 2
2011 Contract Condition   Yes     Yes Yes   Yes Yes Yes   Yes
Action   Yes     Yes Yes   Yes Yes No   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   12 16 23 26 28 30 30 30 30 30 30
Closed Lower   3 10 15 14 16 9 10 8 6 11 13
Penetrated Low   3 7 11 12 9 5 7 4 4 6 8
Scenario Percentage   100% 70% 73% 86% 56% 56% 70% 50% 67% 55% 62%
Avg Max Decline   1.76% 2.78% 3.24% 3.57% 2.41% 3.46% 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 9 14 18 10 9 10
Avg Max Increase   -0.79% -0.36% -0.45% -0.06% -0.45% -0.44% -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 6 5 11 6 7 4
2011 Contract Condition     Yes Yes     Yes       Yes  
Action     No No     Yes       Not Yet  
High 120~250 117~255 117~105 118~295 118~220 121~195 123~190 124~175 130~220 131~300 131~125 131~095
Low 115~205 115~290 114~050 115~205 115~275 118~220 120~135 120~115 124~000 128~185 127~060 129~075
Close/Last 117~020 117~105 116~285 116~180 118~220 121~195 120~265 124~120 129~010 130~030 129~020 130~050

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