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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March 30-Year T-Bonds(CBOT) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 26 28 29 29 29 30 30 30 30 30 30
Closed Higher 11 12 21 15 18 17 17 22 18 16 15
Exceeded High 10 12 14 14 17 15 15 19 18 10 10
Scenario Percentage 91% 100% 67% 93% 94% 88% 88% 86% 100% 62% 67%
Avg Max Increase 6.78% 4.61% 4.34% 4.83% 4.75% 4.02% 4.59% 3.67% 4.03% 3.43% 2.56%
Max Increase 13.80% 8.37% 9.07% 12.78% 16.60% 11.41% 13.16% 8.34% 13.84% 6.68% 4.94%
Avg Days To Max Increase 16 17 16 14 18 17 13 14 18 11 11
Avg Max Decline -0.70% -0.28% -1.07% -0.33% -1.10% -1.15% -1.00% -1.41% -1.73% -0.64% -0.64%
Max Decline -2.05% -1.47% -4.77% -1.10% -3.02% -3.78% -3.07% -6.37% -5.31% -1.60% -2.32%
Avg Days to Max Decline 9 2 10 5 7 8 6 7 8 4 4
2007 Contract Condition     Yes Yes Yes Yes Yes Yes     Yes
Action     Yes Yes Yes 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 26 28 29 29 29 30 30 30 30 30 30
Closed Lower 15 16 8 14 11 13 13 8 12 14 15
Penetrated Low 13 8 6 12 8 7 10 5 10 10 12
Scenario Percentage 87% 50% 75% 86% 73% 54% 77% 62% 83% 71% 80%
Avg Max Decline 3.82% 3.73% 4.59% 4.27% 6.19% 5.14% 2.47% 2.86% 5.86% 5.29% 7.81%
Max Decline 9.46% 6.94% 11.82% 11.02% 12.39% 11.21% 4.92% 5.46% 23.56% 15.67% 16.02%
Avg Days To Max Decline 14 15 13 18 22 11 14 14 21 13 19
Avg Max Increase -0.43% -0.88% -0.74% -2.04% -1.63% -1.20% -1.35% -1.76% -0.69% -0.46% -0.81%
Max Increase -1.90% -2.97% -1.80% -5.09% -4.66% -5.57% -4.14% -3.82% -2.47% -2.54% -1.77%
Avg Days to Max Increase 4 5 5 9 11 8 10 10 7 5 8
2007 Contract Condition Yes Yes             Yes Yes  
Action Yes No             Yes Not Yet  
High 109~110 107~080 108~080 108~110 110~310 113~070 113~020 114~140 114~300 112~280 114~040
Low 106~110 105~030 105~120 105~220 108~030 109~250 109~250 111~130 111~040 109~060 109~280
Close/Last 106~180 106~020 106~200 108~110 110~290 112~110 112~200 114~120 111~140 110~040 113~000

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