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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Crude Oil(NYM) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   21 24 25 25 25 25 26 26 26 26 26
Closed Higher   8 13 18 17 14 12 17 15 15 11 11
Exceeded High   7 12 17 15 8 12 15 12 12 7 7
Scenario Percentage   88% 92% 94% 88% 57% 100% 88% 80% 80% 64% 64%
Avg Max Increase   12.19% 10.37% 7.82% 8.40% 11.90% 9.63% 13.05% 12.63% 8.51% 11.22% 10.07%
Max Increase   24.77% 19.42% 18.25% 31.57% 19.69% 20.90% 68.88% 46.36% 24.77% 24.26% 16.21%
Avg Days To Max Increase   14 15 17 16 22 18 20 17 13 16 15
Avg Max Decline   -1.35% -0.47% -2.59% -1.60% -1.43% -1.44% -1.36% -2.30% -3.91% -2.70% -1.20%
Max Decline   -4.10% -4.27% -9.96% -5.44% -5.66% -5.74% -9.55% -13.14% -13.15% -5.97% -2.53%
Avg Days to Max Decline   6 10 10 11 8 10 7 7 5 9 4
2008 Contract Condition     Yes Yes Yes   Yes Yes   Yes Yes  
Action     Yes Yes Yes   Yes Yes   Yes 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   21 24 25 25 25 25 26 26 26 26 26
Closed Lower   12 11 6 8 11 13 9 11 10 15 15
Penetrated Low   5 5 2 5 7 9 5 7 8 14 12
Scenario Percentage   42% 45% 33% 63% 64% 69% 56% 64% 80% 93% 80%
Avg Max Decline   15.27% 8.49% 7.15% 5.20% 7.92% 7.25% 12.82% 14.75% 16.27% 14.19% 11.07%
Max Decline   38.95% 24.21% 7.95% 8.93% 12.43% 18.49% 27.38% 47.12% 51.99% 47.46% 33.90%
Avg Days To Max Decline   22 19 20 20 15 18 17 18 18 15 13
Avg Max Increase   -0.74% -2.61% -0.59% -2.87% -0.46% -1.36% -4.55% -4.21% -1.85% -2.84% -1.72%
Max Increase   -3.67% -8.74% -1.45% -6.90% -2.69% -6.35% -15.61% -16.04% -7.95% -5.77% -7.11%
Avg Days to Max Increase   3 9 10 9 2 4 15 15 6 5 4
2008 Contract Condition   Yes       Yes     Yes     Yes
Action   No       No     No     Yes
High 70.08 64.45 67.16 69.81 70.96 70.95 72.10 75.51 75.88 81.33 93.79 99.29
Low 66.32 56.25 61.50 64.29 68.10 67.30 68.04 71.30 68.20 71.45 77.09 88.45
Close/Last 67.01 62.91 67.16 69.81 70.43 68.00 71.63 75.40 71.83 79.58 93.27 88.71

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