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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 Jan 01, 2013
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Feb Feb Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   29 31 33 35 35 35 35 35 35 35 35
Closed Higher   15 25 18 19 17 12 16 16 25 20 22
Exceeded High   14 21 17 10 12 7 15 16 18 18 19
Scenario Percentage   93% 84% 94% 53% 71% 58% 94% 100% 72% 90% 86%
Avg Max Increase   4.94% 3.77% 3.98% 3.56% 3.64% 8.33% 6.47% 4.45% 4.88% 4.76% 2.39%
Max Increase   12.38% 11.29% 14.46% 6.69% 12.15% 22.19% 13.83% 9.25% 12.19% 11.76% 5.55%
Avg Days To Max Increase   16 15 17 14 17 19 15 18 18 9 10
Avg Max Decline   -0.65% -1.26% -1.56% -0.63% -1.35% -1.09% -0.89% -0.70% -1.22% -0.69% -0.70%
Max Decline   -2.49% -5.56% -5.39% -2.26% -2.74% -3.15% -2.47% -2.15% -4.58% -3.52% -1.95%
Avg Days to Max Decline   5 8 8 5 13 5 8 4 10 4 2
2012 Contract Condition         Yes     Yes Yes   Yes  
Action         No     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 Feb Feb Feb Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   29 31 33 35 35 35 35 35 35 35 35
Closed Lower   14 6 14 16 18 23 18 19 10 15 13
Penetrated Low   9 2 10 12 16 16 16 11 5 11 7
Scenario Percentage   64% 33% 71% 75% 89% 70% 89% 58% 50% 73% 54%
Avg Max Decline   2.16% 3.65% 3.87% 4.93% 3.38% 4.04% 4.23% 3.69% 5.40% 3.63% 2.76%
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 18 21 17 15 15 18 13 12
Avg Max Increase   -1.27% -2.38% -1.07% -0.64% -1.55% -1.14% -0.68% -0.97% -1.31% -2.00% -0.55%
Max Increase   -4.32% -3.09% -3.84% -2.67% -6.86% -5.19% -2.78% -3.05% -3.63% -5.12% -1.18%
Avg Days to Max Increase   14 22 12 11 12 12 4 4 8 9 2
2012 Contract Condition           Yes Yes     Yes   Yes
Action           Yes No     Yes   Yes
High       141~300 142~280 142~280 140~290 142~160 150~260 152~190 153~110 152~040
Low       139~040 138~190 138~310 134~080 135~190 141~090 146~280 147~260 145~030
Close/Last       141~300 142~280 140~180 136~250 142~040 149~230 147~310 151~010 150~160

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