MRCI's ScenarioSM Study

ScenarioSM Study for December 30-Year T-Bonds(CBOT) as of Dec 30, 2011
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	34	34	34	34	34	35	35	35
Closed Higher		17	15	12	15	15	25	19	23	19	18	26
Exceeded High		11	10	8	14	15	18	19	21	16	16	16
Scenario Percentage		65%	67%	67%	93%	100%	72%	100%	91%	84%	89%	62%
Avg Max Increase		3.22%	3.85%	7.11%	6.30%	4.50%	4.89%	5.25%	4.89%	4.20%	4.54%	2.93%
Max Increase		6.77%	11.95%	21.24%	13.90%	8.88%	12.26%	16.06%	17.57%	11.82%	13.48%	11.21%
Avg Days To Max Increase		12	17	17	17	18	18	15	17	15	11	12
Avg Max Decline		-0.31%	-1.07%	-0.83%	-0.85%	-0.56%	-1.19%	-0.74%	-1.08%	-0.90%	-0.98%	-0.66%
Max Decline		-1.75%	-2.31%	-3.17%	-2.49%	-2.03%	-4.65%	-3.58%	-3.02%	-2.56%	-3.07%	-1.52%
Avg Days to Max Decline		4	11	5	8	7	10	3	7	6	6	3
2011 Contract Condition					Yes	Yes		Yes	Yes	Yes		Yes
Action					Yes	Yes		Yes	Yes	No		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	Feb	Feb	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		32	32	32	34	34	34	34	34	35	35	35
Closed Lower		15	17	19	18	19	9	15	11	16	17	9
Penetrated Low		11	15	14	16	11	5	12	8	10	12	5
Scenario Percentage		73%	88%	74%	89%	58%	56%	80%	73%	63%	71%	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
2011 Contract Condition							Yes				Yes
Action							No				Not Yet
High				118~170	119~140	123~230	125~160	127~000	139~250	147~000	146~130	145~140
Low				116~250	115~150	119~140	120~280	121~010	125~280	135~010	135~050	139~120
Close/Last				117~080	119~140	123~120	121~180	126~210	136~010	142~200	139~010	141~200