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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   19 22 23 25 25 25 26 26 26 26 26
Closed Higher   6 8 11 13 14 18 17 14 13 18 15
Exceeded High   4 6 11 11 13 16 15 9 13 16 10
Scenario Percentage   67% 75% 100% 85% 93% 89% 88% 64% 100% 89% 67%
Avg Max Increase   7.20% 8.79% 9.93% 10.44% 10.72% 8.50% 9.28% 11.61% 10.52% 13.30% 10.34%
Max Increase   11.14% 15.18% 19.73% 23.95% 23.22% 20.61% 30.51% 19.08% 21.40% 64.94% 28.11%
Avg Days To Max Increase   22 12 17 16 18 17 17 20 15 13 14
Avg Max Decline   -1.38% -0.79% -1.44% -1.53% -0.97% -3.23% -2.22% -2.68% -2.10% -1.60% -0.64%
Max Decline   -1.88% -4.39% -7.95% -4.34% -5.04% -10.86% -7.80% -8.52% -10.10% -11.56% -4.69%
Avg Days to Max Decline   8 3 11 7 10 11 9 8 8 4 3
2008 Contract Condition   Yes   Yes   Yes   Yes Yes Yes    
Action   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   19 22 23 25 25 25 26 26 26 26 26
Closed Lower   12 14 12 11 11 7 9 12 13 8 11
Penetrated Low   10 12 8 5 6 4 6 9 9 5 5
Scenario Percentage   83% 86% 67% 45% 55% 57% 67% 75% 69% 63% 45%
Avg Max Decline   9.15% 10.77% 13.89% 16.64% 8.43% 6.17% 6.25% 8.68% 8.18% 10.42% 10.53%
Max Decline   18.89% 24.11% 35.26% 40.71% 27.42% 9.20% 11.56% 15.23% 20.16% 27.31% 21.61%
Avg Days To Max Decline   18 19 18 22 12 10 22 14 16 9 14
Avg Max Increase   -1.81% -1.69% -0.93% -1.24% -2.35% -2.34% -3.14% -1.72% -1.92% -2.24% -1.17%
Max Increase   -4.02% -11.57% -6.24% -4.21% -8.35% -6.97% -8.32% -5.26% -7.44% -4.90% -2.72%
Avg Days to Max Increase   9 9 10 3 7 1 12 4 7 7 2
2008 Contract Condition     Yes   Yes   Yes       Yes Yes
Action     Yes   No   No       Yes Yes
High 76.89 86.36 90.94 92.60 95.38 100.80 105.20 116.06 135.77 144.55 148.13 128.95
Low 70.13 74.05 84.74 85.60 84.60 86.44 96.67 97.48 108.00 122.32 120.90 111.50
Close/Last 75.54 86.36 85.49 91.91 90.51 99.92 99.21 110.76 127.27 140.95 124.51 115.46

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