|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for April Crude Oil(NYM) as of Jan 07, 2009 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
22 |
23 |
24 |
24 |
24 |
24 |
24 |
25 |
25 |
25 |
25 |
| Closed Higher |
15 |
12 |
11 |
16 |
16 |
14 |
11 |
11 |
12 |
15 |
13 |
| Exceeded High |
13 |
7 |
11 |
14 |
14 |
12 |
8 |
9 |
12 |
13 |
10 |
| Scenario Percentage |
87% |
58% |
100% |
88% |
88% |
86% |
73% |
82% |
100% |
87% |
77% |
| Avg Max Increase |
5.51% |
8.97% |
8.27% |
10.65% |
10.88% |
7.76% |
10.94% |
14.71% |
12.68% |
13.03% |
10.79% |
| Max Increase |
13.72% |
19.51% |
18.77% |
52.11% |
37.03% |
22.50% |
19.04% |
26.67% |
35.74% |
27.99% |
27.73% |
| Avg Days To Max Increase |
14 |
21 |
20 |
20 |
15 |
14 |
24 |
15 |
17 |
14 |
13 |
| Avg Max Decline |
-1.42% |
-0.87% |
-0.90% |
-1.28% |
-1.39% |
-2.59% |
-2.73% |
-1.79% |
-2.70% |
-3.68% |
-1.06% |
| Max Decline |
-4.57% |
-4.14% |
-4.03% |
-8.25% |
-8.69% |
-12.12% |
-8.10% |
-7.02% |
-10.65% |
-13.62% |
-3.63% |
| Avg Days to Max Decline |
8 |
9 |
8 |
10 |
8 |
4 |
13 |
3 |
10 |
8 |
2 |
| 2008 Contract Condition |
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
|
Yes |
| Action |
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
|
Yes |
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
22 |
23 |
24 |
24 |
24 |
24 |
24 |
25 |
25 |
25 |
25 |
| Closed Lower |
7 |
10 |
13 |
8 |
8 |
8 |
13 |
14 |
13 |
10 |
12 |
| Penetrated Low |
5 |
7 |
10 |
3 |
3 |
6 |
12 |
11 |
8 |
4 |
9 |
| Scenario Percentage |
71% |
70% |
77% |
38% |
38% |
75% |
92% |
79% |
62% |
40% |
75% |
| Avg Max Decline |
4.82% |
7.10% |
6.40% |
8.23% |
12.43% |
9.69% |
11.51% |
13.00% |
17.50% |
24.26% |
20.88% |
| Max Decline |
10.16% |
10.27% |
18.10% |
12.81% |
18.05% |
24.67% |
24.93% |
34.10% |
48.16% |
38.98% |
50.68% |
| Avg Days To Max Decline |
19 |
14 |
18 |
21 |
16 |
16 |
19 |
18 |
20 |
14 |
12 |
| Avg Max Increase |
-2.61% |
-0.23% |
-1.26% |
-5.21% |
-3.90% |
-0.97% |
-2.84% |
-2.50% |
-2.78% |
-0.89% |
-3.80% |
| Max Increase |
-6.17% |
-1.96% |
-6.61% |
-11.96% |
-12.63% |
-5.36% |
-8.69% |
-13.41% |
-9.72% |
-2.91% |
-11.58% |
| Avg Days to Max Increase |
14 |
2 |
5 |
25 |
8 |
5 |
10 |
13 |
13 |
7 |
8 |
| 2008 Contract Condition |
|
Yes |
|
|
Yes |
|
|
Yes |
|
Yes |
|
| Action |
|
No |
|
|
No |
|
|
Yes |
|
Not Yet |
|
| High |
71.59 |
71.65 |
72.66 |
74.19 |
74.22 |
79.26 |
90.34 |
95.33 |
96.60 |
99.15 |
103.05 |
| Low |
68.84 |
68.42 |
69.21 |
72.47 |
68.07 |
71.31 |
76.33 |
87.32 |
86.70 |
85.10 |
86.34 |
| Close/Last |
71.09 |
68.94 |
72.10 |
74.19 |
70.75 |
77.82 |
90.34 |
87.43 |
95.24 |
91.68 |
101.84 |
|
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