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