MRCI's ScenarioSM Study

ScenarioSM Study for December 30-Year T-Bonds(CBOT) as of Jan 01, 2008
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	30	30	30	30	30	30	30	30	31	31	31
Closed Higher	16	15	10	13	13	22	16	19	17	18	23
Exceeded High	11	10	7	12	13	15	16	18	15	16	14
Scenario Percentage	69%	67%	70%	92%	100%	68%	100%	95%	88%	89%	61%
Avg Max Increase	3.22%	3.85%	8.02%	6.27%	4.55%	4.99%	4.60%	4.74%	4.35%	4.54%	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	15	17	17	13	18	16	11	11
Avg Max Decline	-0.31%	-1.07%	-0.95%	-0.90%	-0.41%	-1.14%	-0.56%	-1.09%	-0.95%	-0.98%	-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	9	5	9	4	7	6	6	3
2007 Contract Condition		Yes		Yes			Yes	Yes		Yes	Yes
Action		No		Yes			Yes	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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	30	30	30	30	30	30	30	30	31	31	31
Closed Lower	14	15	19	16	17	8	14	11	14	13	8
Penetrated Low	10	14	14	14	9	5	12	8	8	9	7
Scenario Percentage	71%	93%	74%	88%	53%	62%	86%	73%	57%	69%	88%
Avg Max Decline	5.34%	3.31%	4.42%	4.03%	3.75%	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%	-0.97%	-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	12	4	5	6	9	11	7	9	10
2007 Contract Condition	Yes		Yes		Yes	Yes			Yes
Action	No		Yes		Yes	No			No
High	112~200	114~000	113~160	112~050	112~240	109~040	110~080	111~310	114~080	114~050	119~120
Low	109~100	109~310	111~100	110~090	108~220	104~180	105~290	108~200	109~290	110~020	112~070
Close/Last	110~010	112~300	111~100	111~260	109~050	107~180	109~310	111~180	111~110	112~190	117~060