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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 30-Year T-Bonds(CBOT) as of May 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   28 30 32 32 32 32 32 32 32 32 32
Closed Higher   15 24 18 17 15 12 13 13 24 17 20
Exceeded High   14 21 17 9 10 7 12 13 17 16 18
Scenario Percentage   93% 88% 94% 53% 67% 58% 92% 100% 71% 94% 90%
Avg Max Increase   4.94% 3.77% 3.98% 3.86% 4.01% 8.33% 6.36% 4.63% 4.73% 4.25% 2.32%
Max Increase   12.38% 11.29% 14.46% 6.69% 12.15% 22.19% 13.83% 9.25% 12.19% 11.34% 5.55%
Avg Days To Max Increase   16 15 17 13 16 19 14 17 17 11 13
Avg Max Decline   -0.65% -1.26% -1.56% -0.44% -1.18% -1.09% -1.01% -0.46% -1.18% -0.68% -0.74%
Max Decline   -2.49% -5.56% -5.39% -1.69% -2.34% -3.15% -2.47% -1.47% -4.58% -3.52% -1.95%
Avg Days to Max Decline   5 8 8 4 11 5 9 2 9 4 3
2010 Contract Condition     Yes   Yes Yes   Yes Yes Yes    
Action     No   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   28 30 32 32 32 32 32 32 32 32 32
Closed Lower   13 6 13 15 17 20 18 19 8 15 12
Penetrated Low   8 2 10 11 15 14 16 11 4 11 6
Scenario Percentage   62% 33% 77% 73% 88% 70% 89% 58% 50% 73% 50%
Avg Max Decline   1.96% 3.65% 3.87% 5.12% 3.28% 4.36% 4.23% 3.69% 6.27% 3.74% 2.54%
Max Decline   3.28% 4.26% 7.43% 15.40% 7.67% 11.64% 9.68% 6.81% 11.50% 8.04% 5.94%
Avg Days To Max Decline   12 24 22 19 21 19 15 15 17 14 12
Avg Max Increase   -1.09% -2.38% -1.07% -0.70% -1.67% -1.26% -0.68% -0.97% -0.73% -2.00% -0.58%
Max Increase   -4.32% -3.09% -3.84% -2.67% -6.86% -5.19% -2.78% -3.05% -1.35% -5.12% -1.18%
Avg Days to Max Increase   12 22 12 12 12 13 4 4 4 9 2
2010 Contract Condition   Yes   Yes     Yes          
Action   Yes   No     Yes          
High 118~210 119~240 119~190 119~190 116~010 116~230 117~000 118~040 126~050 123~250    
Low 115~080 114~180 114~140 112~020 112~070 113~130 113~230 113~060 117~180 122~100    
Close/Last 118~050 116~160 119~190 112~180 116~010 116~120 114~300 118~030 122~210 122~250    

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