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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February Crude Oil(NYM) as of Jan 01, 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years 22 23 24 25 25 26 26 26 26 26 26
Closed Higher 13 16 17 14 12 18 15 15 12 11 13
Exceeded High 12 15 15 9 12 16 12 12 8 9 12
Scenario Percentage 92% 94% 88% 64% 100% 89% 80% 80% 67% 82% 92%
Avg Max Increase 10.16% 7.97% 8.23% 10.78% 9.19% 11.83% 11.89% 8.13% 13.13% 16.88% 9.18%
Max Increase 17.47% 17.48% 31.97% 19.87% 21.18% 63.08% 43.64% 24.44% 27.15% 28.47% 15.94%
Avg Days To Max Increase 15 17 16 20 18 21 15 13 23 12 12
Avg Max Decline -0.30% -2.52% -1.71% -0.82% -1.19% -1.38% -2.10% -3.03% -2.76% -2.13% -1.36%
Max Decline -4.22% -9.77% -5.06% -5.01% -4.91% -9.12% -11.67% -12.01% -7.14% -8.61% -6.17%
Avg Days to Max Decline 11 9 11 7 11 8 8 4 9 4 4
2009 Contract Condition Yes   Yes Yes Yes            
Action 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years 22 23 24 25 25 26 26 26 26 26 26
Closed Lower 9 6 7 11 13 8 10 11 14 15 13
Penetrated Low 4 4 4 8 9 4 7 8 13 12 10
Scenario Percentage 44% 67% 57% 73% 69% 50% 70% 73% 93% 80% 77%
Avg Max Decline 10.94% 4.32% 6.15% 7.02% 6.97% 14.41% 14.11% 15.58% 14.96% 16.00% 23.64%
Max Decline 27.66% 6.22% 9.41% 11.60% 18.10% 26.95% 46.60% 50.99% 49.25% 41.06% 50.11%
Avg Days To Max Decline 15 10 19 15 17 19 18 16 18 14 13
Avg Max Increase -2.19% -1.68% -2.34% -1.14% -1.73% -5.41% -3.20% -1.45% -2.88% -2.19% -6.79%
Max Increase -7.60% -6.19% -6.65% -6.17% -6.01% -14.94% -14.44% -5.75% -5.31% -10.68% -20.90%
Avg Days to Max Increase 8 5 9 3 4 19 12 6 6 10 7
2009 Contract Condition   Yes       Yes Yes Yes Yes Yes Yes
Action   Yes       Yes Yes Yes Yes Yes Yes
High 99.91 103.55 113.67 135.70 143.60 148.17 129.51 118.20 102.12 72.86 55.77
Low 86.06 96.57 95.99 108.15 122.85 122.70 112.97 91.69 62.45 49.40 35.13
Close/Last 99.08 97.54 108.81 126.50 141.61 125.51 116.94 100.80 69.22 55.82 44.60

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