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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 Dec 31, 2010
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 Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   32 32 32 33 33 33 33 33 34 34 34
Closed Higher   17 15 12 14 14 25 18 22 18 18 25
Exceeded High   11 10 8 13 14 18 18 20 16 16 15
Scenario Percentage   65% 67% 67% 93% 100% 72% 100% 91% 89% 89% 60%
Avg Max Increase   3.22% 3.85% 7.11% 6.40% 4.61% 4.89% 4.65% 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 16 17 18 15 17 15 11 12
Avg Max Decline   -0.31% -1.07% -0.83% -0.91% -0.45% -1.19% -0.75% -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 10 4 7 6 6 3
2010 Contract Condition         Yes Yes Yes Yes Yes      
Action         Yes Yes Yes Yes No      
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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 Feb Feb Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   32 32 32 33 33 33 33 33 34 34 34
Closed Lower   15 17 19 18 19 8 15 11 16 16 9
Penetrated Low   11 15 14 16 11 5 12 8 10 12 5
Scenario Percentage   73% 88% 74% 89% 58% 63% 80% 73% 63% 75% 56%
Avg Max Decline   5.02% 3.14% 4.42% 4.24% 3.69% 5.48% 4.31% 6.22% 5.01% 2.93% 3.12%
Max Decline   15.24% 7.81% 11.60% 9.68% 6.80% 11.69% 10.89% 12.39% 11.46% 8.07% 6.48%
Avg Days To Max Decline   17 21 20 15 15 16 18 22 13 12 11
Avg Max Increase   -0.65% -1.53% -1.32% -0.51% -0.93% -0.91% -2.09% -1.67% -1.42% -1.15% -0.92%
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 13 12 5 4 6 9 11 7 9 4
2010 Contract Condition                   Yes Yes Yes
Action                   Yes Yes Yes
High       115~110 116~270 124~110 126~060 127~260 135~190 135~040 135~120 133~000
Low       112~210 112~000 115~210 120~040 123~270 126~070 129~050 129~180 125~150
Close/Last       113~240 116~270 121~100 126~030 127~100 135~010 133~230 130~300 128~230

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