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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August Crude Oil(NYM) as of Jan 01, 2008
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 18 20 22 23 23 23 24 24 25 25 25
Closed Higher 12 10 10 10 10 13 14 18 15 13 12
Exceeded High 11 8 6 8 9 11 13 15 13 10 11
Scenario Percentage 92% 80% 60% 80% 90% 85% 93% 83% 87% 77% 92%
Avg Max Increase 10.24% 5.80% 10.50% 12.62% 10.93% 13.05% 11.23% 10.09% 9.49% 10.83% 6.75%
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 15 20 20 18 15 16 14 13
Avg Max Decline -1.05% -1.38% -2.99% -0.91% -1.04% -3.26% -1.14% -3.61% -2.87% -2.42% -1.03%
Max Decline -4.92% -7.41% -9.42% -3.89% -4.49% -10.57% -5.16% -11.02% -9.71% -7.11% -4.21%
Avg Days to Max Decline 10 5 17 3 9 10 9 9 9 7 4
2007 Contract Condition       Yes     Yes Yes     Yes
Action       Yes     Yes No     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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 18 20 22 23 23 23 24 24 25 25 25
Closed Lower 6 10 12 13 13 10 10 6 10 12 13
Penetrated Low 3 9 11 10 9 5 6 4 7 9 11
Scenario Percentage 50% 90% 92% 77% 69% 50% 60% 67% 70% 75% 85%
Avg Max Decline 6.74% 8.46% 9.44% 13.80% 13.92% 18.63% 9.04% 8.01% 9.31% 11.25% 13.86%
Max Decline 13.79% 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 11 19 18 21 19 19 9 10 20 12 12
Avg Max Increase -3.34% -2.78% -2.45% -0.64% -1.78% -1.31% -3.12% -2.59% -4.29% -1.66% -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 10 10 10 10 9 4 11 1 12 5 6
2007 Contract Condition Yes Yes Yes   Yes Yes     Yes Yes  
Action Yes Yes Yes   Yes No     Yes Not Yet  
High 80.76 74.28 67.85 68.25 68.83 62.74 65.40 70.00 69.55 68.75 71.06
Low 74.05 65.10 64.91 64.47 64.69 54.25 59.70 61.93 65.16 63.50 64.70
Close/Last 75.29 68.41 65.71 68.25 65.49 61.16 65.30 68.73 68.10 64.99 70.68

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Newsflash

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