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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, 2010
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 28 30 31 31 31 32 32 32 32 32 32
Closed Higher 12 12 22 16 20 17 18 24 19 17 15
Exceeded High 11 12 15 15 19 15 16 21 18 10 10
Scenario Percentage 92% 100% 68% 94% 95% 88% 89% 88% 95% 59% 67%
Avg Max Increase 6.18% 4.61% 4.26% 4.77% 4.66% 4.02% 4.68% 4.09% 4.03% 3.41% 2.55%
Max Increase 13.80% 8.37% 9.07% 12.78% 16.60% 11.41% 13.16% 11.27% 13.84% 6.68% 4.94%
Avg Days To Max Increase 15 17 17 14 18 17 14 14 18 11 11
Avg Max Decline -0.66% -0.28% -1.11% -0.39% -1.02% -1.15% -0.96% -1.43% -1.73% -0.64% -0.64%
Max Decline -2.05% -1.47% -4.77% -1.19% -3.02% -3.78% -3.07% -6.37% -5.31% -1.60% -2.32%
Avg Days to Max Decline 9 2 11 5 7 8 6 7 8 4 4
2009 Contract Condition     Yes   Yes     Yes Yes    
Action     Yes   Yes     Yes No    
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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 28 30 31 31 31 32 32 32 32 32 32
Closed Lower 16 18 9 15 11 15 14 8 13 15 17
Penetrated Low 14 10 6 12 8 8 10 5 10 11 14
Scenario Percentage 88% 56% 67% 80% 73% 53% 71% 62% 77% 73% 82%
Avg Max Decline 3.77% 3.50% 4.59% 4.27% 6.19% 5.07% 2.47% 2.86% 5.86% 4.98% 7.97%
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 12 14 14 21 14 20
Avg Max Increase -0.44% -0.82% -0.74% -2.04% -1.63% -1.57% -1.35% -1.76% -0.69% -0.68% -1.42%
Max Increase -1.90% -2.97% -1.80% -5.09% -4.66% -5.57% -4.14% -3.82% -2.47% -2.91% -7.22%
Avg Days to Max Increase 5 5 5 9 11 8 10 10 7 6 8
2009 Contract Condition Yes Yes   Yes   Yes Yes     Yes Yes
Action Yes Yes   No   Yes No     Yes Yes
High 116~000 113~300 113~200 115~100 117~040 122~200 121~020 128~120 141~280 139~190 130~130
Low 111~310 110~190 109~220 111~180 112~200 115~060 110~270 111~070 127~100 126~090 124~110
Close/Last 113~100 111~090 113~170 113~150 116~110 116~050 111~260 127~160 138~020 126~230 124~200

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