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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, 2010
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 32 32 32 32 32 32 32 32 33 33 33
Closed Higher 17 15 12 13 13 24 17 21 18 18 25
Exceeded High 11 10 8 12 13 17 17 20 16 16 15
Scenario Percentage 65% 67% 67% 92% 100% 71% 100% 95% 89% 89% 60%
Avg Max Increase 3.22% 3.85% 7.11% 6.27% 4.55% 4.74% 4.54% 4.73% 4.20% 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 17 15 17 17 14 17 15 11 12
Avg Max Decline -0.31% -1.07% -0.83% -0.90% -0.41% -1.15% -0.74% -1.10% -0.90% -0.98% -0.64%
Max Decline -1.75% -2.31% -3.17% -2.49% -1.47% -4.65% -3.58% -3.02% -2.56% -3.07% -1.52%
Avg Days to Max Decline 4 11 5 9 5 9 4 7 6 6 3
2009 Contract Condition     Yes     Yes Yes Yes Yes   Yes
Action     Yes     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 32 32 32 32 32 32 32 32 33 33 33
Closed Lower 15 17 19 18 19 8 15 11 15 15 8
Penetrated Low 11 15 14 16 11 5 12 8 9 11 7
Scenario Percentage 73% 88% 74% 89% 58% 62% 80% 73% 60% 73% 88%
Avg Max Decline 5.02% 3.14% 4.42% 4.24% 3.69% 5.48% 4.31% 6.22% 4.88% 2.46% 8.39%
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 17 21 20 15 15 16 18 22 13 11 12
Avg Max Increase -0.65% -1.53% -1.32% -0.51% -0.93% -0.91% -2.09% -1.67% -1.44% -1.12% -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 13 12 5 4 6 9 11 7 9 10
2009 Contract Condition Yes Yes   Yes Yes         Yes  
Action Yes Yes   Yes Yes         Yes  
High 135~160 125~210 127~080 128~050 120~210 117~150 120~000 119~310 121~270 123~250 123~180
Low 123~050 121~000 121~000 120~050 113~110 110~080 113~280 113~170 117~090 117~250 117~100
Close/Last 123~050 121~000 127~080 120~050 116~130 117~020 117~240 119~120 121~120 120~050 123~110

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