|
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 |
|
|
|
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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