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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 30-Year T-Bonds(CBOT) as of Jan 01, 2007
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 29 29 29 29 29 29 29 29 30 30 30
Closed Higher 16 14 10 12 13 22 15 18 17 17 22
Exceeded High 11 10 7 11 13 15 15 17 15 15 14
Scenario Percentage 69% 71% 70% 92% 100% 68% 100% 94% 88% 88% 64%
Avg Max Increase 3.22% 3.85% 8.02% 6.76% 4.55% 4.99% 4.65% 4.88% 4.35% 4.44% 2.30%
Max Increase 6.77% 11.95% 21.24% 13.90% 8.88% 12.26% 13.77% 17.57% 11.82% 13.48% 5.54%
Avg Days To Max Increase 12 17 19 16 17 17 13 18 16 10 11
Avg Max Decline -0.31% -1.07% -0.95% -0.95% -0.41% -1.14% -0.52% -1.13% -0.95% -1.02% -0.67%
Max Decline -1.75% -2.31% -3.17% -2.49% -1.47% -4.65% -1.75% -3.02% -2.56% -3.07% -1.52%
Avg Days to Max Decline 4 11 6 10 5 9 3 8 6 6 3
2006 Contract Condition   Yes       Yes Yes Yes Yes Yes Yes
Action   No       Yes Yes Yes Yes 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 29 29 29 29 29 29 29 29 30 30 30
Closed Lower 13 15 18 16 16 7 14 11 13 13 8
Penetrated Low 10 14 13 14 8 5 12 8 8 9 7
Scenario Percentage 77% 93% 72% 88% 50% 71% 86% 73% 62% 69% 88%
Avg Max Decline 5.34% 3.31% 4.58% 4.03% 3.69% 5.48% 4.31% 6.22% 5.00% 2.34% 8.30%
Max Decline 15.24% 7.81% 11.60% 9.68% 6.80% 11.69% 10.89% 12.39% 11.46% 6.72% 16.86%
Avg Days To Max Decline 19 21 20 15 16 16 18 22 12 10 12
Avg Max Increase -0.51% -1.22% -1.32% -0.51% -1.09% -0.91% -2.09% -1.67% -1.07% -1.15% -2.54%
Max Increase -2.26% -6.13% -5.07% -1.95% -3.14% -1.62% -5.17% -5.05% -5.70% -3.56% -3.52%
Avg Days to Max Increase 12 12 11 4 5 6 9 11 7 9 10
2006 Contract Condition Yes   Yes Yes Yes            
Action Yes   Yes Yes No            
High 115~020 114~300 113~050 109~160 108~000 109~090 108~200 111~040 113~110 113~050 114~130
Low 112~210 112~060 109~140 106~140 104~270 105~180 105~200 108~050 109~250 109~270 111~130
Close/Last 112~310 113~230 109~140 106~230 106~070 106~260 108~170 111~020 112~130 112~210 114~120

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