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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 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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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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