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