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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, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   31 31 31 31 31 31 31 31 32 32 32
Closed Higher   17 15 11 13 13 23 16 20 17 18 24
Exceeded High   11 10 7 12 13 16 16 19 15 16 15
Scenario Percentage   65% 67% 64% 92% 100% 70% 100% 95% 88% 89% 63%
Avg Max Increase   3.22% 3.85% 8.02% 6.27% 4.55% 4.88% 4.60% 4.79% 4.35% 4.54% 2.92%
Max Increase   6.77% 11.95% 21.24% 13.90% 8.88% 12.26% 13.77% 17.57% 11.82% 13.48% 11.21%
Avg Days To Max Increase   12 17 19 15 17 18 13 18 16 11 12
Avg Max Decline   -0.31% -1.07% -0.95% -0.90% -0.41% -1.18% -0.56% -1.07% -0.95% -0.98% -0.64%
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 10 4 7 6 6 3
2008 Contract Condition   Yes         Yes   Yes     Yes
Action   No         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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   31 31 31 31 31 31 31 31 32 32 32
Closed Lower   14 16 19 17 18 8 15 11 15 14 8
Penetrated Low   10 14 14 15 10 5 12 8 9 10 4
Scenario Percentage   71% 88% 74% 88% 56% 63% 80% 73% 60% 71% 50%
Avg Max Decline   5.34% 3.31% 4.42% 3.98% 3.53% 5.48% 4.31% 6.22% 4.88% 2.47% 2.28%
Max Decline   15.24% 7.81% 11.60% 9.68% 6.80% 11.69% 10.89% 12.39% 11.46% 6.72% 5.28%
Avg Days To Max Decline   19 21 20 15 16 16 18 22 13 11 10
Avg Max Increase   -0.51% -1.22% -1.32% -0.52% -1.02% -0.91% -2.09% -1.67% -1.44% -1.20% -1.18%
Max Increase   -2.26% -6.13% -5.07% -1.95% -3.14% -1.62% -5.17% -5.05% -5.70% -3.56% -1.58%
Avg Days to Max Increase   12 12 12 5 5 6 9 11 7 10 4
2008 Contract Condition     Yes Yes Yes Yes   Yes   Yes Yes  
Action     No Yes Yes Yes   No   Yes Not Yet  
High 117~010 118~240 117~020 118~100 117~070 115~090 115~050 116~180 118~090 123~280 122~120 129~190
Low 111~200 115~170 112~140 113~220 113~070 111~140 110~250 112~160 113~110 116~030 112~170 112~200
Close/Last 114~150 116~200 116~110 116~020 114~160 112~170 114~200 114~170 117~100 117~060 113~040 128~180

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