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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, 2013
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 35 35 35 35 35 36 36 36
Closed Higher   17 15 12 16 16 25 20 23 19 18 27
Exceeded High   11 10 8 15 16 18 19 21 16 16 16
Scenario Percentage   65% 67% 67% 94% 100% 72% 95% 91% 84% 89% 59%
Avg Max Increase   3.22% 3.85% 7.11% 6.42% 4.38% 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 16 18 18 15 17 15 11 12
Avg Max Decline   -0.31% -1.07% -0.83% -0.83% -0.63% -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
2012 Contract Condition         Yes Yes   Yes       Yes
Action         Yes Yes   No       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 Feb Feb Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   32 32 32 35 35 35 35 35 36 36 36
Closed Lower   15 17 19 18 19 10 15 12 17 18 9
Penetrated Low   11 15 14 16 11 6 12 9 10 11 5
Scenario Percentage   73% 88% 74% 89% 58% 60% 80% 75% 59% 61% 56%
Avg Max Decline   5.02% 3.14% 4.42% 4.24% 3.69% 4.91% 4.31% 6.04% 5.01% 2.87% 2.99%
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 17 18 22 13 11 11
Avg Max Increase   -0.65% -1.53% -1.32% -0.51% -0.93% -1.40% -2.09% -1.52% -1.42% -1.10% -0.92%
Max Increase   -2.26% -6.13% -5.07% -1.95% -3.14% -3.82% -5.17% -5.05% -5.70% -3.56% -1.58%
Avg Days to Max Increase   12 13 12 5 4 9 9 10 7 8 4
2012 Contract Condition             Yes   Yes Yes Yes  
Action             Yes   Yes No Not Yet  
High       136~300 142~100 151~230 153~200 154~170 153~050 151~290 150~070 152~210
Low       133~200 134~270 141~150 148~010 148~270 145~230 144~150 146~020 147~180
Close/Last       135~250 142~090 150~190 148~270 152~040 151~130 149~120 149~100 151~130

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