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| MRCI's ScenarioSM Study |
| ScenarioSM Study for July Crude Oil(NYM) as of Jul 31, 2006 |
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 |
18 |
19 |
21 |
21 |
22 |
22 |
23 |
23 |
23 |
24 |
24 |
| Closed Higher |
13 |
13 |
11 |
10 |
9 |
10 |
14 |
13 |
16 |
15 |
13 |
| Exceeded High |
12 |
12 |
11 |
7 |
7 |
10 |
13 |
12 |
15 |
14 |
8 |
| Scenario Percentage |
92% |
92% |
100% |
70% |
78% |
100% |
93% |
92% |
94% |
93% |
62% |
| Avg Max Increase |
9.21% |
10.05% |
5.03% |
9.35% |
15.06% |
10.60% |
12.12% |
12.23% |
9.81% |
9.74% |
9.47% |
| Max Increase |
38.98% |
29.27% |
13.56% |
15.58% |
22.63% |
22.30% |
28.77% |
28.56% |
21.04% |
26.92% |
15.13% |
| Avg Days To Max Increase |
18 |
15 |
13 |
21 |
16 |
16 |
18 |
15 |
14 |
11 |
14 |
| Avg Max Decline |
-0.85% |
-0.97% |
-2.79% |
-2.37% |
-1.20% |
-1.71% |
-2.97% |
-1.07% |
-3.30% |
-2.07% |
-0.80% |
| Max Decline |
-3.07% |
-5.67% |
-12.09% |
-8.73% |
-3.60% |
-6.89% |
-11.08% |
-4.46% |
-11.47% |
-7.16% |
-4.42% |
| Avg Days to Max Decline |
11 |
9 |
3 |
10 |
3 |
10 |
9 |
9 |
9 |
6 |
5 |
| 2005 Contract Condition |
Yes |
Yes |
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
|
Yes |
| Action |
Yes |
Yes |
Yes |
No |
|
|
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 |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
18 |
19 |
21 |
21 |
22 |
22 |
23 |
23 |
23 |
24 |
24 |
| Closed Lower |
5 |
6 |
10 |
11 |
13 |
12 |
9 |
10 |
7 |
8 |
11 |
| Penetrated Low |
2 |
4 |
8 |
10 |
10 |
8 |
5 |
5 |
5 |
6 |
10 |
| Scenario Percentage |
40% |
67% |
80% |
91% |
77% |
67% |
56% |
50% |
71% |
75% |
91% |
| Avg Max Decline |
9.06% |
6.22% |
8.86% |
10.61% |
14.54% |
14.18% |
19.67% |
10.83% |
9.59% |
11.76% |
17.84% |
| Max Decline |
11.58% |
16.97% |
20.52% |
21.64% |
27.64% |
40.73% |
43.39% |
27.71% |
16.29% |
28.63% |
52.39% |
| Avg Days To Max Decline |
26 |
11 |
19 |
19 |
19 |
19 |
19 |
11 |
14 |
17 |
14 |
| Avg Max Increase |
-4.69% |
-3.50% |
-3.20% |
-2.19% |
-0.62% |
-3.17% |
-1.23% |
-4.25% |
-2.57% |
-5.02% |
-2.87% |
| Max Increase |
-9.32% |
-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 |
25 |
13 |
13 |
11 |
9 |
10 |
4 |
12 |
6 |
9 |
6 |
| 2005 Contract Condition |
|
|
|
|
Yes |
Yes |
|
|
|
Yes |
|
| Action |
|
|
|
|
Yes |
No |
|
|
|
Yes |
|
| High |
39.22 |
43.10 |
44.90 |
50.83 |
49.10 |
45.27 |
49.10 |
52.38 |
58.80 |
59.70 |
54.25 |
| Low |
35.45 |
38.68 |
39.59 |
44.65 |
44.40 |
40.70 |
41.15 |
45.75 |
51.55 |
50.80 |
48.05 |
| Close/Last |
39.22 |
39.32 |
44.76 |
48.79 |
47.68 |
42.79 |
48.10 |
52.38 |
56.91 |
51.45 |
51.97 |
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