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| MRCI's ScenarioSM Study |
| ScenarioSM Study for August 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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
17 |
19 |
21 |
22 |
22 |
22 |
23 |
23 |
24 |
24 |
24 |
| Closed Higher |
12 |
10 |
10 |
9 |
10 |
13 |
13 |
17 |
15 |
13 |
11 |
| Exceeded High |
11 |
8 |
6 |
7 |
9 |
11 |
12 |
15 |
13 |
10 |
10 |
| Scenario Percentage |
92% |
80% |
60% |
78% |
90% |
85% |
92% |
88% |
87% |
77% |
91% |
| Avg Max Increase |
10.17% |
5.80% |
10.47% |
14.30% |
10.93% |
13.01% |
11.56% |
10.08% |
9.46% |
10.78% |
6.52% |
| Max Increase |
28.65% |
13.52% |
14.74% |
22.27% |
21.37% |
26.54% |
27.22% |
21.31% |
25.68% |
18.91% |
12.17% |
| Avg Days To Max Increase |
17 |
15 |
24 |
17 |
20 |
20 |
17 |
15 |
16 |
14 |
13 |
| Avg Max Decline |
-1.05% |
-1.38% |
-2.99% |
-1.16% |
-0.94% |
-3.26% |
-0.79% |
-3.54% |
-2.78% |
-2.08% |
-0.93% |
| Max Decline |
-4.92% |
-7.41% |
-9.42% |
-3.89% |
-4.49% |
-10.57% |
-3.99% |
-11.02% |
-9.71% |
-7.11% |
-4.21% |
| Avg Days to Max Decline |
10 |
5 |
17 |
3 |
9 |
10 |
9 |
10 |
9 |
7 |
4 |
| 2005 Contract Condition |
Yes |
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
| Action |
Yes |
Yes |
No |
|
|
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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
17 |
19 |
21 |
22 |
22 |
22 |
23 |
23 |
24 |
24 |
24 |
| Closed Lower |
5 |
9 |
11 |
13 |
12 |
9 |
10 |
6 |
9 |
11 |
13 |
| Penetrated Low |
2 |
8 |
10 |
10 |
8 |
5 |
6 |
4 |
6 |
9 |
11 |
| Scenario Percentage |
40% |
89% |
91% |
77% |
67% |
56% |
60% |
67% |
67% |
82% |
85% |
| Avg Max Decline |
3.21% |
8.78% |
10.18% |
13.80% |
13.51% |
18.63% |
9.04% |
7.96% |
9.74% |
11.25% |
13.86% |
| Max Decline |
3.78% |
20.29% |
20.42% |
26.13% |
38.92% |
42.72% |
28.07% |
13.22% |
21.18% |
18.58% |
34.95% |
| Avg Days To Max Decline |
12 |
19 |
18 |
21 |
19 |
19 |
9 |
16 |
18 |
12 |
12 |
| Avg Max Increase |
-5.69% |
-3.06% |
-2.23% |
-0.64% |
-2.52% |
-1.31% |
-3.12% |
-2.71% |
-4.85% |
-1.61% |
-3.98% |
| Max Increase |
-9.16% |
-14.20% |
-4.39% |
-2.31% |
-6.55% |
-4.92% |
-10.55% |
-7.75% |
-10.62% |
-4.03% |
-13.09% |
| Avg Days to Max Increase |
14 |
12 |
10 |
10 |
10 |
4 |
11 |
6 |
14 |
5 |
6 |
| 2005 Contract Condition |
|
|
|
Yes |
Yes |
|
|
|
Yes |
|
|
| Action |
|
|
|
Yes |
No |
|
|
|
Yes |
|
|
| High |
42.64 |
44.28 |
50.20 |
48.00 |
45.70 |
48.70 |
52.03 |
58.55 |
60.00 |
54.50 |
60.95 |
| Low |
38.44 |
39.26 |
44.61 |
44.38 |
40.78 |
41.00 |
45.55 |
51.40 |
52.20 |
49.05 |
53.05 |
| Close/Last |
39.02 |
44.22 |
48.29 |
47.29 |
42.55 |
47.76 |
52.03 |
57.09 |
52.40 |
52.75 |
56.50 |
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