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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 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 Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   30 30 33 35 35 35 35 35 35 35 35
Closed Higher   16 19 18 18 26 19 19 17 11 16 16
Exceeded High   15 18 15 17 22 17 11 12 6 15 15
Scenario Percentage   94% 95% 83% 94% 85% 89% 58% 71% 55% 94% 94%
Avg Max Increase   4.21% 4.53% 3.97% 4.39% 3.96% 3.99% 3.32% 3.68% 6.07% 6.08% 3.22%
Max Increase   12.20% 15.55% 10.84% 12.87% 11.27% 13.95% 6.72% 12.22% 11.08% 13.58% 9.77%
Avg Days To Max Increase   13 18 18 14 15 17 13 17 20 11 12
Avg Max Decline   -0.50% -1.02% -1.08% -0.76% -1.32% -1.73% -0.70% -1.44% -1.18% -0.85% -0.43%
Max Decline   -3.24% -3.05% -3.17% -2.94% -5.97% -5.50% -2.42% -2.97% -3.13% -2.41% -1.47%
Avg Days to Max Decline   5 7 10 6 7 9 5 13 6 7 2
2012 Contract Condition           Yes Yes Yes     Yes Yes
Action           Yes No No     Yes Yes
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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 Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   30 30 33 35 35 35 35 35 35 35 35
Closed Lower   14 11 15 17 9 15 16 18 24 19 19
Penetrated Low   10 10 8 12 6 12 12 16 16 16 9
Scenario Percentage   71% 91% 53% 71% 67% 80% 75% 89% 67% 84% 47%
Avg Max Decline   4.54% 5.05% 4.74% 2.96% 3.62% 5.29% 4.99% 3.41% 3.98% 4.17% 3.15%
Max Decline   10.76% 12.31% 10.61% 8.81% 6.95% 23.44% 15.50% 7.71% 11.51% 10.02% 5.70%
Avg Days To Max Decline   18 22 14 14 14 19 17 19 17 14 10
Avg Max Increase   -2.05% -1.31% -1.53% -1.53% -1.16% -0.60% -0.68% -1.52% -1.18% -0.69% -0.48%
Max Increase   -5.02% -4.37% -5.34% -4.51% -3.44% -2.49% -2.92% -7.47% -5.30% -2.80% -1.64%
Avg Days to Max Increase   10 9 8 14 8 7 6 10 12 4 2
2012 Contract Condition         Yes       Yes Yes    
Action         No       Yes No    
High       145~000 144~100 144~000 144~230 144~000 144~000 142~100 143~180 151~120
Low       139~180 133~240 137~140 138~260 139~110 139~150 135~050 136~120 141~300
Close/Last       141~150 137~140 140~020 143~120 144~000 141~210 137~240 142~280 150~090

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