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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, 2013
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   13 17 24 27 29 31 31 31 31 31 31
Closed Higher   10 6 8 13 13 21 21 23 24 19 18
Exceeded High   7 5 4 11 13 16 20 21 22 17 14
Scenario Percentage   70% 83% 50% 85% 100% 76% 95% 91% 92% 89% 78%
Avg Max Increase   3.45% 2.30% 5.41% 4.45% 3.10% 3.68% 3.58% 3.36% 2.78% 2.56% 1.75%
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 20 19 16 14 16 7 9
Avg Max Decline   -0.89% -0.77% -0.37% -0.35% -0.25% -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 6 9 11 6 8 9 6 2
2012 Contract Condition   Yes     Yes Yes   Yes Yes     Yes
Action   No     Yes Yes   No 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   13 17 24 27 29 31 31 31 31 31 31
Closed Lower   3 11 16 14 16 10 10 8 7 12 13
Penetrated Low   3 8 11 12 9 6 7 4 5 6 8
Scenario Percentage   100% 73% 69% 86% 56% 60% 70% 50% 71% 50% 62%
Avg Max Decline   1.76% 2.79% 3.24% 3.57% 2.41% 3.06% 2.17% 2.86% 2.68% 1.62% 1.84%
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 10 14 18 13 9 10
Avg Max Increase   -0.79% -0.31% -0.45% -0.06% -0.45% -0.64% -0.81% -0.95% -0.94% -0.44% -0.52%
Max Increase   -1.37% -1.12% -1.22% -0.67% -1.39% -1.60% -2.86% -1.65% -3.00% -1.50% -1.13%
Avg Days to Max Increase   7 9 10 10 6 9 5 11 5 7 4
2012 Contract Condition     Yes Yes     Yes     Yes Yes  
Action     Yes No     Yes     Yes Not Yet  
High 129~020 130~130 130~130 129~200 130~105 133~030 133~285 134~180 133~275 133~270 133~255 134~115
Low 126~045 127~305 128~210 126~000 126~260 130~000 131~290 132~140 131~025 131~230 131~220 132~100
Close/Last 129~020 130~130 129~050 127~130 130~105 133~030 132~140 133~205 133~230 133~155 133~010 134~040

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