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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Crude Oil(NYM) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   20 21 23 23 24 24 25 25 25 26 26
Closed Higher   15 13 12 11 10 11 14 15 17 16 14
Exceeded High   14 12 12 8 8 11 13 14 15 15 9
Scenario Percentage   93% 92% 100% 73% 80% 100% 93% 93% 88% 94% 64%
Avg Max Increase   8.52% 10.05% 6.38% 9.12% 13.29% 10.45% 12.14% 12.26% 9.85% 10.62% 9.13%
Max Increase   38.98% 29.27% 21.25% 15.58% 22.63% 22.30% 28.77% 28.56% 21.07% 26.92% 14.79%
Avg Days To Max Increase   18 15 14 22 14 17 18 17 14 11 13
Avg Max Decline   -1.25% -1.06% -2.72% -2.44% -1.18% -2.46% -2.99% -1.70% -3.34% -2.18% -1.58%
Max Decline   -7.82% -5.67% -12.09% -8.73% -3.60% -8.56% -11.08% -5.36% -11.47% -7.16% -4.51%
Avg Days to Max Decline   11 9 3 13 3 11 9 9 9 6 4
2008 Contract Condition   Yes   Yes Yes   Yes   Yes   Yes Yes
Action   Yes   Yes Yes   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   20 21 23 23 24 24 25 25 25 26 26
Closed Lower   5 8 11 12 14 13 11 10 8 9 12
Penetrated Low   2 5 9 11 11 9 5 5 5 7 9
Scenario Percentage   40% 63% 82% 92% 79% 69% 45% 50% 63% 78% 75%
Avg Max Decline   9.06% 7.79% 8.63% 9.89% 13.31% 14.60% 19.67% 10.83% 9.60% 10.75% 8.05%
Max Decline   11.58% 16.97% 20.52% 21.64% 27.64% 40.73% 43.39% 27.71% 16.29% 28.63% 24.87%
Avg Days To Max Decline   26 11 19 19 19 19 19 11 10 14 13
Avg Max Increase   -4.69% -2.53% -2.99% -2.28% -2.23% -2.67% -1.23% -4.25% -2.68% -4.42% -1.56%
Max Increase   -9.32% -10.57% -13.94% -4.82% -12.54% -8.61% -5.35% -11.25% -9.27% -10.98% -3.58%
Avg Days to Max Increase   25 10 12 11 11 9 4 12 2 8 4
2008 Contract Condition     Yes     Yes   Yes   Yes    
Action     No     Yes   No   No    
High 73.07 74.20 73.80 77.75 88.16 92.82 94.63 97.22 101.80 107.87 118.65 135.09
Low 69.74 71.77 67.81 70.45 75.05 85.75 85.59 85.45 86.28 97.51 98.63 109.59
Close/Last 72.40 73.56 70.29 76.55 88.16 86.39 93.45 91.10 100.64 100.56 112.73 127.35

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