|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Crude Oil(NYM) as of Jan 07, 2009 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
| Tested Years |
23 |
24 |
25 |
25 |
26 |
26 |
26 |
26 |
26 |
26 |
26 |
| Closed Higher |
11 |
12 |
15 |
19 |
18 |
14 |
13 |
17 |
15 |
16 |
12 |
| Exceeded High |
10 |
10 |
14 |
17 |
16 |
8 |
13 |
15 |
12 |
14 |
5 |
| Scenario Percentage |
91% |
83% |
93% |
89% |
89% |
57% |
100% |
88% |
80% |
88% |
42% |
| Avg Max Increase |
10.45% |
10.96% |
10.31% |
8.33% |
8.28% |
12.16% |
9.59% |
13.95% |
13.65% |
7.56% |
6.45% |
| Max Increase |
19.00% |
24.60% |
21.78% |
19.26% |
31.24% |
19.60% |
19.76% |
75.72% |
50.17% |
21.89% |
15.08% |
| Avg Days To Max Increase |
18 |
13 |
16 |
16 |
17 |
20 |
17 |
20 |
15 |
11 |
12 |
| Avg Max Decline |
-1.77% |
-1.58% |
-1.01% |
-2.95% |
-2.25% |
-1.71% |
-1.73% |
-1.57% |
-2.39% |
-3.96% |
-1.33% |
| Max Decline |
-7.77% |
-4.39% |
-4.69% |
-10.42% |
-5.98% |
-6.43% |
-6.88% |
-10.19% |
-14.04% |
-14.87% |
-2.57% |
| Avg Days to Max Decline |
10 |
7 |
9 |
8 |
10 |
7 |
9 |
9 |
8 |
5 |
2 |
| 2008 Contract Condition |
Yes |
|
Yes |
|
Yes |
Yes |
Yes |
|
|
|
|
| Action |
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 |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
| Tested Years |
23 |
24 |
25 |
25 |
26 |
26 |
26 |
26 |
26 |
26 |
26 |
| Closed Lower |
12 |
12 |
10 |
6 |
8 |
12 |
13 |
8 |
11 |
10 |
14 |
| Penetrated Low |
8 |
5 |
5 |
3 |
5 |
8 |
9 |
6 |
6 |
9 |
12 |
| Scenario Percentage |
67% |
42% |
50% |
50% |
63% |
67% |
69% |
75% |
55% |
90% |
86% |
| Avg Max Decline |
13.69% |
15.77% |
9.47% |
6.68% |
5.35% |
7.82% |
7.50% |
11.13% |
17.06% |
14.54% |
23.39% |
| Max Decline |
32.91% |
39.08% |
27.46% |
8.86% |
8.21% |
13.26% |
18.88% |
27.49% |
46.31% |
46.52% |
63.95% |
| Avg Days To Max Decline |
19 |
22 |
11 |
13 |
19 |
15 |
18 |
14 |
19 |
13 |
15 |
| Avg Max Increase |
-1.13% |
-1.20% |
-1.32% |
-3.18% |
-3.08% |
-1.32% |
-1.63% |
-4.33% |
-3.42% |
-1.36% |
-5.01% |
| Max Increase |
-5.66% |
-4.01% |
-2.66% |
-7.36% |
-7.29% |
-5.62% |
-6.82% |
-16.88% |
-17.88% |
-6.16% |
-24.14% |
| Avg Days to Max Increase |
10 |
3 |
5 |
8 |
9 |
3 |
6 |
13 |
17 |
4 |
6 |
| 2008 Contract Condition |
|
Yes |
|
Yes |
|
|
|
Yes |
Yes |
Yes |
Yes |
| Action |
|
No |
|
No |
|
|
|
Yes |
Yes |
Yes |
Yes |
| High |
92.05 |
94.74 |
100.61 |
105.00 |
114.97 |
134.27 |
144.05 |
148.03 |
128.90 |
112.90 |
98.90 |
| Low |
84.95 |
83.90 |
85.60 |
95.83 |
96.62 |
107.54 |
122.95 |
122.80 |
112.80 |
90.85 |
62.45 |
| Close/Last |
90.97 |
90.17 |
99.49 |
98.37 |
109.76 |
126.91 |
141.45 |
125.29 |
116.31 |
100.26 |
67.81 |
|
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