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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, 2013
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Feb Feb Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   29 31 32 34 34 35 35 35 35 35 35
Closed Higher   12 12 23 19 23 19 18 26 20 19 17
Exceeded High   11 12 16 18 22 16 16 22 18 11 12
Scenario Percentage   92% 100% 70% 95% 96% 84% 89% 85% 90% 58% 71%
Avg Max Increase   6.18% 4.61% 4.15% 5.47% 4.59% 3.89% 4.68% 4.06% 4.03% 3.20% 2.40%
Max Increase   13.80% 8.37% 9.07% 16.90% 16.60% 11.41% 13.16% 11.27% 13.84% 6.68% 4.94%
Avg Days To Max Increase   15 17 18 15 17 17 14 15 18 12 12
Avg Max Decline   -0.66% -0.28% -1.21% -0.55% -1.12% -1.30% -0.96% -1.42% -1.73% -0.80% -0.83%
Max Decline   -2.05% -1.47% -4.77% -3.21% -4.22% -3.78% -3.07% -6.37% -5.31% -2.45% -2.32%
Avg Days to Max Decline   9 2 12 4 7 11 6 7 8 5 5
2012 Contract Condition         Yes Yes Yes   Yes Yes Yes  
Action         Yes Yes No   Yes No 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 Feb Feb Feb Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   29 31 32 34 34 35 35 35 35 35 35
Closed Lower   17 19 9 15 11 16 17 9 15 16 18
Penetrated Low   15 11 6 12 8 9 12 6 11 12 13
Scenario Percentage   88% 58% 67% 80% 73% 56% 71% 67% 73% 75% 72%
Avg Max Decline   4.02% 3.58% 4.59% 4.27% 6.19% 5.23% 3.11% 3.51% 5.73% 4.83% 2.25%
Max Decline   9.46% 6.94% 11.82% 11.02% 12.39% 11.21% 8.44% 6.78% 23.56% 15.67% 4.98%
Avg Days To Max Decline   13 14 13 18 22 13 15 14 20 14 11
Avg Max Increase   -0.44% -0.74% -0.74% -2.04% -1.63% -1.53% -1.49% -1.45% -0.63% -0.64% -0.56%
Max Increase   -1.90% -2.97% -1.80% -5.09% -4.66% -5.57% -4.14% -3.82% -2.47% -2.91% -1.77%
Avg Days to Max Increase   6 5 5 9 11 7 11 9 7 6 4
2012 Contract Condition               Yes       Yes
Action               No       Yes
High       123~220 125~070 138~030 146~120 145~310 145~080 146~110 145~150 145~130
Low       120~040 119~250 125~070 134~310 134~220 139~020 139~240 140~210 140~230
Close/Last       120~040 125~070 134~310 142~040 138~160 141~120 144~260 145~140 143~030

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