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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Crude Oil(NYM) as of Dec 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   25 26 27 27 28 28 28 28 28 28 28
Closed Higher   11 12 16 21 19 15 14 19 15 17 14
Exceeded High   10 10 15 18 17 9 14 17 12 15 6
Scenario Percentage   91% 83% 94% 86% 89% 60% 100% 89% 80% 88% 43%
Avg Max Increase   10.45% 10.98% 10.49% 9.45% 7.98% 12.03% 9.49% 13.00% 13.70% 7.68% 6.85%
Max Increase   19.00% 24.64% 21.78% 20.39% 31.94% 19.60% 21.06% 75.72% 50.17% 22.54% 14.57%
Avg Days To Max Increase   18 14 18 17 16 19 16 18 17 11 11
Avg Max Decline   -1.89% -1.62% -1.07% -2.97% -2.25% -1.68% -2.68% -1.45% -2.40% -3.80% -1.14%
Max Decline   -7.77% -4.39% -4.90% -10.42% -5.98% -6.66% -14.44% -10.31% -14.04% -14.87% -2.61%
Avg Days to Max Decline   10 7 8 8 10 6 9 7 8 6 2
2010 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   25 26 27 27 28 28 28 28 28 28 28
Closed Lower   14 14 11 6 9 13 14 8 13 11 14
Penetrated Low   10 7 5 3 5 8 10 6 7 9 10
Scenario Percentage   71% 50% 45% 50% 56% 62% 71% 75% 54% 82% 71%
Avg Max Decline   14.39% 14.22% 9.47% 6.73% 5.36% 7.82% 7.41% 11.16% 15.93% 14.33% 9.68%
Max Decline   32.91% 39.08% 27.46% 8.86% 8.21% 13.26% 18.88% 27.64% 47.30% 46.18% 20.42%
Avg Days To Max Decline   17 19 11 13 20 15 19 14 20 13 14
Avg Max Increase   -2.35% -2.34% -1.32% -3.18% -3.08% -1.34% -2.36% -4.42% -4.24% -1.87% -3.09%
Max Increase   -9.13% -6.26% -2.66% -7.36% -7.29% -5.62% -8.98% -16.88% -17.88% -6.16% -5.84%
Avg Days to Max Increase   9 4 5 8 9 3 9 13 16 4 4
2010 Contract Condition   Yes Yes       Yes Yes   Yes    
Action   Yes Yes       No Yes   No    
High 86.61 86.87 88.61 83.32 85.65 91.78 93.55 82.77 81.03 84.45 81.12 85.08
Low 80.85 78.39 77.05 73.73 80.75 85.02 71.50 74.48 73.15 72.35 74.82 79.84
Close/Last 85.46 84.13 77.53 82.16 85.51 91.67 78.24 77.49 80.51 75.10 80.95 81.43

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