|
 |
| 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 |
|
|
|
|
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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|
