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| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Crude Oil(NYM) as of Jan 29, 2010 |
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 |
24 |
25 |
26 |
26 |
27 |
27 |
27 |
27 |
27 |
27 |
27 |
| Closed Higher |
11 |
12 |
15 |
20 |
18 |
15 |
14 |
18 |
15 |
16 |
13 |
| Exceeded High |
10 |
10 |
14 |
17 |
16 |
9 |
14 |
16 |
12 |
14 |
5 |
| Scenario Percentage |
91% |
83% |
93% |
85% |
89% |
60% |
100% |
89% |
80% |
88% |
38% |
| Avg Max Increase |
10.45% |
10.96% |
10.40% |
9.45% |
8.34% |
12.03% |
9.49% |
13.47% |
13.65% |
7.61% |
6.56% |
| Max Increase |
19.00% |
24.64% |
21.78% |
20.39% |
31.94% |
19.60% |
21.06% |
75.72% |
50.17% |
22.54% |
15.08% |
| Avg Days To Max Increase |
18 |
13 |
17 |
18 |
17 |
19 |
16 |
19 |
15 |
11 |
12 |
| Avg Max Decline |
-1.88% |
-1.62% |
-1.02% |
-3.11% |
-2.37% |
-1.62% |
-2.67% |
-1.53% |
-2.39% |
-3.98% |
-1.34% |
| Max Decline |
-7.77% |
-4.39% |
-4.90% |
-10.42% |
-5.98% |
-6.43% |
-14.44% |
-10.31% |
-14.04% |
-14.87% |
-2.61% |
| Avg Days to Max Decline |
10 |
7 |
9 |
8 |
10 |
6 |
9 |
8 |
8 |
5 |
2 |
| 2009 Contract Condition |
|
|
|
Yes |
|
Yes |
Yes |
Yes |
|
|
Yes |
| Action |
|
|
|
Yes |
|
Yes |
Yes |
Yes |
|
|
Not Yet |
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 |
24 |
25 |
26 |
26 |
27 |
27 |
27 |
27 |
27 |
27 |
27 |
| Closed Lower |
13 |
13 |
11 |
6 |
9 |
12 |
13 |
8 |
12 |
11 |
14 |
| Penetrated Low |
9 |
6 |
5 |
3 |
5 |
8 |
9 |
6 |
7 |
9 |
12 |
| Scenario Percentage |
69% |
46% |
45% |
50% |
56% |
67% |
69% |
75% |
58% |
82% |
86% |
| Avg Max Decline |
14.61% |
15.78% |
9.47% |
6.68% |
5.36% |
7.82% |
7.50% |
11.16% |
15.93% |
14.67% |
23.49% |
| Max Decline |
32.91% |
39.08% |
27.46% |
8.86% |
8.21% |
13.26% |
18.88% |
27.64% |
47.30% |
47.35% |
63.95% |
| Avg Days To Max Decline |
19 |
21 |
11 |
13 |
20 |
15 |
18 |
14 |
20 |
13 |
15 |
| Avg Max Increase |
-2.02% |
-1.68% |
-1.32% |
-3.18% |
-3.08% |
-1.34% |
-1.63% |
-4.42% |
-4.24% |
-1.87% |
-5.09% |
| Max Increase |
-9.13% |
-4.11% |
-2.66% |
-7.36% |
-7.29% |
-5.62% |
-6.82% |
-16.88% |
-17.88% |
-6.16% |
-24.14% |
| Avg Days to Max Increase |
9 |
4 |
5 |
8 |
9 |
3 |
6 |
13 |
16 |
4 |
6 |
| 2009 Contract Condition |
Yes |
Yes |
Yes |
|
Yes |
|
|
|
Yes |
Yes |
|
| Action |
Yes |
Yes |
No |
|
No |
|
|
|
Yes |
Not Yet |
|
| High |
65.50 |
64.09 |
57.05 |
62.13 |
62.31 |
69.49 |
76.50 |
74.38 |
76.87 |
74.00 |
82.00 |
| Low |
48.20 |
52.49 |
46.14 |
48.00 |
54.92 |
56.51 |
69.35 |
62.21 |
69.87 |
65.55 |
68.32 |
| Close/Last |
58.73 |
54.80 |
52.52 |
57.72 |
57.33 |
69.20 |
72.71 |
73.20 |
71.38 |
70.94 |
77.00 |
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