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MRCI's Scenario Study
MRCI's
Scenario
SM
Study
Scenario
SM
Study for September 30-Year T-Bonds(CBOT) as of Apr 30, 2011
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
29
31
33
33
33
33
33
33
33
33
33
Closed Higher
15
25
18
18
16
12
14
14
25
18
21
Exceeded High
14
21
17
10
11
7
13
14
18
17
18
Scenario Percentage
93%
84%
94%
56%
69%
58%
93%
100%
72%
94%
86%
Avg Max Increase
4.94%
3.77%
3.98%
3.56%
3.78%
8.33%
6.50%
4.70%
4.88%
4.38%
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
14
17
19
15
17
18
11
13
Avg Max Decline
-0.65%
-1.26%
-1.56%
-0.63%
-1.32%
-1.09%
-0.97%
-0.52%
-1.22%
-0.70%
-0.74%
Max Decline
-2.49%
-5.56%
-5.39%
-2.26%
-2.74%
-3.15%
-2.47%
-1.47%
-4.58%
-3.52%
-1.95%
Avg Days to Max Decline
5
8
8
5
14
5
9
2
10
4
3
2011 Contract Condition
Yes
Yes
Yes
Action
Yes
Yes
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Moore Research Center, Inc.
All Rights Reserved.
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
29
31
33
33
33
33
33
33
33
33
33
Closed Lower
14
6
14
15
17
21
18
19
8
15
12
Penetrated Low
9
2
10
11
15
15
16
11
4
11
6
Scenario Percentage
64%
33%
71%
73%
88%
71%
89%
58%
50%
73%
50%
Avg Max Decline
2.16%
3.65%
3.87%
5.12%
3.28%
4.18%
4.23%
3.69%
6.27%
3.74%
2.54%
Max Decline
3.81%
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
14
24
22
19
21
18
15
15
17
14
12
Avg Max Increase
-1.27%
-2.38%
-1.07%
-0.70%
-1.67%
-1.19%
-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
14
22
12
12
12
12
4
4
4
9
2
2011 Contract Condition
Yes
Yes
Action
Yes
Yes
High
118~300
118~300
118~240
121~050
121~040
121~110
Low
116~070
116~090
114~000
116~250
116~110
120~220
Close/Last
118~300
117~120
118~240
118~230
120~290
121~050
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