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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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