MRCI's ScenarioSM Study

ScenarioSM Study for September 30-Year T-Bonds(CBOT) as of Jan 01, 2014
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	36	36	36	36	36	36	36	36
Closed Higher		15	25	18	19	18	13	17	16	25	20	22
Exceeded High		14	21	17	10	13	8	16	16	18	18	19
Scenario Percentage		93%	84%	94%	53%	72%	62%	94%	100%	72%	90%	86%
Avg Max Increase		4.94%	3.77%	3.98%	3.56%	3.63%	7.76%	6.11%	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	18	17	14	18	18	9	10
Avg Max Decline		-0.65%	-1.26%	-1.56%	-0.63%	-1.42%	-0.98%	-0.84%	-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	12	4	7	4	10	4	2
2013 Contract Condition						Yes	Yes	Yes
Action						Yes	Yes	Yes

Copyright © 1989- 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	Feb	Feb	Feb	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		29	31	33	36	36	36	36	36	36	36	36
Closed Lower		14	6	14	17	18	23	18	20	11	16	14
Penetrated Low		9	2	10	13	16	16	16	12	6	12	8
Scenario Percentage		64%	33%	71%	76%	89%	70%	89%	60%	55%	75%	57%
Avg Max Decline		2.16%	3.65%	3.87%	4.66%	3.38%	4.04%	4.23%	3.85%	5.23%	3.59%	2.75%
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	17	21	17	15	14	18	13	11
Avg Max Increase		-1.27%	-2.38%	-1.07%	-0.69%	-1.55%	-1.14%	-0.68%	-1.04%	-1.21%	-1.90%	-0.48%
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	12	12	12	4	4	7	9	2
2013 Contract Condition					Yes				Yes	Yes	Yes	Yes
Action					Yes				Yes	Yes	Yes	Yes
High				146~300	146~020	143~220	143~300	148~130	148~280	142~150	136~270	135~020
Low				145~080	141~170	141~030	140~000	143~090	138~300	133~040	132~020	129~280
Close/Last				146~020	141~300	143~080	143~170	147~200	140~010	135~270	134~020	133~110