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| MRCI's ScenarioSM Study |
| ScenarioSM Study for May Crude Oil(NYM) as of Sep 17, 2001 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
| Tested Years |
14 |
15 |
16 |
17 |
17 |
17 |
18 |
18 |
18 |
18 |
18 |
| Closed Higher |
7 |
5 |
10 |
11 |
11 |
8 |
7 |
6 |
11 |
9 |
12 |
| Exceeded High |
4 |
5 |
9 |
10 |
10 |
6 |
5 |
6 |
10 |
7 |
10 |
| Scenario Percentage |
57% |
100% |
90% |
91% |
91% |
75% |
71% |
100% |
91% |
78% |
83% |
| Avg Max Increase |
7.33% |
7.99% |
10.82% |
9.77% |
4.95% |
9.73% |
15.95% |
9.74% |
12.96% |
15.99% |
9.32% |
| Max Increase |
10.37% |
10.33% |
47.75% |
33.91% |
13.37% |
17.51% |
23.56% |
24.67% |
32.58% |
38.62% |
19.70% |
| Avg Days To Max Increase |
22 |
21 |
21 |
15 |
12 |
24 |
12 |
16 |
19 |
16 |
15 |
| Avg Max Decline |
-3.20% |
-1.24% |
-1.21% |
-1.10% |
-3.03% |
-2.89% |
-1.22% |
-3.04% |
-3.39% |
-0.62% |
-1.72% |
| Max Decline |
-7.04% |
-3.57% |
-3.12% |
-5.31% |
-11.42% |
-9.01% |
-3.03% |
-8.70% |
-12.77% |
-2.91% |
-6.86% |
| Avg Days to Max Decline |
9 |
5 |
11 |
5 |
5 |
10 |
4 |
9 |
13 |
5 |
3 |
| 2001 Contract Condition |
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
|
| Action |
Yes |
Yes |
|
Yes |
Yes |
|
No |
|
Yes |
Not Yet |
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
| Tested Years |
14 |
15 |
16 |
17 |
17 |
17 |
18 |
18 |
18 |
18 |
18 |
| Closed Lower |
7 |
10 |
6 |
6 |
6 |
9 |
11 |
12 |
7 |
9 |
6 |
| Penetrated Low | 6 |
8 |
2 |
3 |
5 |
8 |
10 |
8 |
4 |
5 |
5 |
| Scenario Percentage |
86% |
80% |
33% |
50% |
83% |
89% |
91% |
67% |
57% |
56% |
83% |
| Avg Max Decline |
7.53% |
6.15% |
5.51% |
7.39% |
6.41% |
12.34% |
14.85% |
15.50% |
24.72% |
11.70% |
22.23% |
| Max Decline |
10.52% |
16.54% |
7.37% |
17.69% |
16.26% |
23.84% |
31.02% |
44.68% |
45.53% |
28.26% |
41.46% |
| Avg Days To Max Decline |
13 |
17 |
18 |
13 |
19 |
19 |
18 |
20 |
19 |
12 |
9 |
| Avg Max Increase |
-0.04% |
-1.04% |
-1.48% |
-4.04% |
-5.19% |
-2.62% |
-1.36% |
-3.51% |
-0.54% |
-4.89% |
-4.99% |
| Max Increase |
-2.07% |
-6.60% |
-3.65% |
-11.54% |
-13.79% |
-7.53% |
-4.96% |
-9.68% |
-1.76% |
-11.53% |
-10.46% |
| Avg Days to Max Increase |
2 |
5 |
15 |
15 |
18 |
11 |
10 |
13 |
7 |
11 |
8 |
| 2001 Contract Condition |
|
|
Yes |
|
|
Yes |
|
Yes |
|
|
Yes |
| Action |
|
|
No |
|
|
Yes |
|
No |
|
|
Yes |
| High |
25.37 |
26.75 |
27.13 |
29.36 |
31.70 |
33.50 |
31.55 |
30.33 |
28.80 |
30.86 |
29.35 |
| Low |
22.67 |
22.85 |
25.66 |
26.08 |
28.90 |
29.00 |
28.77 |
24.72 |
25.50 |
27.35 |
25.75 |
| Close/Last |
24.58 |
26.61 |
25.86 |
29.00 |
29.55 |
29.34 |
30.20 |
25.34 |
27.41 |
27.50 |
26.29 |
|
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