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| MRCI's ScenarioSM Study |
| ScenarioSM Study for July 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 |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
13 |
14 |
16 |
16 |
17 |
17 |
18 |
18 |
18 |
19 |
19 |
| Closed Higher |
10 |
8 |
10 |
8 |
7 |
6 |
10 |
9 |
12 |
12 |
10 |
| Exceeded High |
9 |
7 |
10 |
6 |
5 |
6 |
9 |
8 |
11 |
11 |
5 |
| Scenario Percentage |
90% |
88% |
100% |
75% |
71% |
100% |
90% |
89% |
92% |
92% |
50% |
| Avg Max Increase |
9.09% |
11.31% |
4.17% |
8.64% |
14.09% |
8.64% |
11.55% |
10.98% |
9.23% |
10.05% |
8.64% |
| Max Increase |
38.98% |
27.09% |
11.26% |
15.58% |
22.63% |
22.05% |
28.77% |
20.71% |
13.58% |
26.92% |
14.79% |
| Avg Days To Max Increase |
20 |
17 |
12 |
22 |
12 |
16 |
20 |
17 |
15 |
13 |
14 |
| Avg Max Decline |
-1.24% |
-0.66% |
-3.05% |
-2.60% |
-1.34% |
-2.83% |
-3.29% |
-0.84% |
-2.78% |
-2.10% |
-1.88% |
| Max Decline |
-3.07% |
-3.90% |
-12.09% |
-8.73% |
-3.60% |
-6.89% |
-11.08% |
-4.46% |
-5.89% |
-7.16% |
-3.99% |
| Avg Days to Max Decline |
14 |
10 |
4 |
11 |
4 |
9 |
11 |
9 |
11 |
8 |
6 |
| 2001 Contract Condition |
|
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
|
Yes |
|
| Action |
|
Yes |
Yes |
|
No |
|
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 |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
13 |
14 |
16 |
16 |
17 |
17 |
18 |
18 |
18 |
19 |
19 |
| Closed Lower |
3 |
6 |
6 |
8 |
10 |
11 |
8 |
9 |
6 |
6 |
9 |
| Penetrated Low | 1 |
4 |
5 |
7 |
9 |
8 |
5 |
5 |
4 |
5 |
8 |
| Scenario Percentage |
33% |
67% |
83% |
88% |
90% |
73% |
63% |
56% |
67% |
83% |
89% |
| Avg Max Decline |
6.53% |
6.22% |
5.73% |
11.83% |
14.52% |
14.18% |
19.67% |
10.83% |
9.13% |
12.28% |
14.31% |
| Max Decline |
6.53% |
16.97% |
14.46% |
21.64% |
27.64% |
40.73% |
43.39% |
27.71% |
16.29% |
28.63% |
43.43% |
| Avg Days To Max Decline |
27 |
11 |
19 |
18 |
20 |
19 |
19 |
11 |
11 |
14 |
12 |
| Avg Max Increase |
-0.06% |
-3.50% |
-5.02% |
-2.20% |
-1.39% |
-3.17% |
-1.23% |
-4.25% |
-3.10% |
-4.94% |
-3.13% |
| Max Increase |
-0.06% |
-10.57% |
-13.94% |
-4.82% |
-5.08% |
-8.61% |
-5.35% |
-11.25% |
-9.27% |
-10.98% |
-12.35% |
| Avg Days to Max Increase |
5 |
13 |
18 |
13 |
10 |
10 |
4 |
12 |
2 |
9 |
7 |
| 2001 Contract Condition |
Yes |
|
|
Yes |
|
Yes |
|
|
Yes |
|
Yes |
| Action |
No |
|
|
Yes |
|
No |
|
|
Yes |
|
Yes |
| High |
26.51 |
28.51 |
30.58 |
32.20 |
29.82 |
29.05 |
27.50 |
29.45 |
28.90 |
29.47 |
30.60 |
| Low |
25.06 |
25.45 |
28.15 |
28.10 |
27.98 |
24.32 |
24.80 |
26.65 |
26.15 |
25.90 |
27.55 |
| Close/Last |
25.42 |
28.21 |
28.94 |
28.45 |
28.87 |
24.92 |
26.59 |
27.11 |
26.60 |
28.86 |
28.37 |
|
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