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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, 2014
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   14 18 25 28 30 32 32 32 32 32 32
Closed Higher   10 7 8 14 13 21 21 23 25 20 18
Exceeded High   7 6 4 12 13 16 20 21 23 17 14
Scenario Percentage   70% 86% 50% 86% 100% 76% 95% 91% 92% 85% 78%
Avg Max Increase   3.45% 2.06% 5.41% 4.09% 3.10% 3.68% 3.58% 3.36% 2.72% 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 17 27 13 20 19 16 14 17 7 9
Avg Max Decline   -0.89% -0.81% -0.37% -0.33% -0.25% -0.67% -0.61% -0.72% -0.66% -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 10 7 6 9 11 6 8 9 6 2
2013 Contract Condition     Yes   Yes         Yes Yes  
Action     Yes   Yes         Yes Not Yet  
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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   14 18 25 28 30 32 32 32 32 32 32
Closed Lower   4 11 17 14 17 11 11 9 7 12 14
Penetrated Low   4 8 12 12 10 7 8 5 5 6 9
Scenario Percentage   100% 73% 71% 86% 59% 64% 73% 56% 71% 50% 64%
Avg Max Decline   1.35% 2.79% 3.09% 3.57% 2.59% 2.95% 2.22% 2.62% 2.68% 1.62% 1.80%
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   12 19 16 16 15 12 13 16 13 9 11
Avg Max Increase   -0.60% -0.31% -0.53% -0.06% -0.45% -0.64% -0.76% -0.76% -0.94% -0.44% -0.46%
Max Increase   -1.37% -1.12% -1.35% -0.67% -1.39% -1.60% -2.86% -1.65% -3.00% -1.50% -1.13%
Avg Days to Max Increase   6 9 11 10 6 10 6 9 5 7 4
2013 Contract Condition   Yes   Yes   Yes Yes Yes Yes     Yes
Action   Yes   Yes   Yes Yes Yes Yes     Yes
High 133~010 131~295 131~175 131~250 132~220 132~280 129~250 126~145 126~020 126~215 128~020 127~290
Low 131~030 130~015 129~310 130~065 131~035 129~070 124~185 123~230 122~235 122~070 125~170 125~230
Close/Last 131~295 130~045 131~175 131~035 132~190 129~070 125~200 125~160 124~090 126~125 127~115 126~205

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Newsflash

US stock indices have still continued into new all-time highs, and some international stock markets have also been trending higher. Are there certain times of the year that have consistently provided incredible opportunities? But which way and when? MRCI has just released the 2024 Historical Indices Report, complete with seasonal patterns not only for US futures on S&P500, S&P MidCap 400, NASDAQ 100, Russell 2000, and DJIA but also for futures on several major international indices including the FT-SE 100, CAC 40, Nikkei 225, DAX, Euro STOXX 50, Swiss Market Index, SPI 200, and Hang Seng Index.