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| MRCI's ScenarioSM Study |
| ScenarioSM Study for January Heating Oil(NYM) as of Jul 14, 2005 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
14 |
16 |
20 |
22 |
25 |
26 |
26 |
26 |
26 |
26 |
26 |
| Closed Higher |
8 |
8 |
14 |
15 |
13 |
10 |
16 |
16 |
18 |
11 |
10 |
| Exceeded High |
7 |
7 |
13 |
12 |
9 |
10 |
13 |
16 |
15 |
9 |
7 |
| Scenario Percentage |
88% |
88% |
93% |
80% |
69% |
100% |
81% |
100% |
83% |
82% |
70% |
| Avg Max Increase |
10.35% |
9.39% |
8.75% |
11.01% |
7.76% |
11.07% |
14.30% |
10.32% |
7.52% |
12.57% |
23.53% |
| Max Increase |
20.23% |
19.73% |
18.16% |
52.14% |
16.36% |
24.90% |
71.34% |
38.14% |
17.09% |
26.77% |
77.96% |
| Avg Days To Max Increase |
12 |
14 |
22 |
17 |
19 |
19 |
19 |
16 |
15 |
18 |
25 |
| Avg Max Decline |
-0.98% |
-0.69% |
-2.98% |
-1.91% |
-1.79% |
-2.02% |
-1.70% |
-2.82% |
-3.33% |
-1.82% |
-2.28% |
| Max Decline |
-3.52% |
-3.15% |
-8.71% |
-10.66% |
-5.26% |
-6.36% |
-5.53% |
-13.56% |
-13.28% |
-3.38% |
-7.37% |
| Avg Days to Max Decline |
5 |
11 |
7 |
10 |
8 |
14 |
8 |
9 |
10 |
5 |
5 |
| 2002 Contract Condition |
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
Yes |
|
|
|
| Action |
Yes |
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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
14 |
16 |
20 |
22 |
25 |
26 |
26 |
26 |
26 |
26 |
26 |
| Closed Lower |
6 |
8 |
6 |
7 |
12 |
16 |
10 |
10 |
8 |
15 |
16 |
| Penetrated Low |
5 |
6 |
4 |
5 |
10 |
13 |
5 |
5 |
7 |
13 |
15 |
| Scenario Percentage |
83% |
75% |
67% |
71% |
83% |
81% |
50% |
50% |
88% |
87% |
94% |
| Avg Max Decline |
7.68% |
5.63% |
4.55% |
6.08% |
7.30% |
7.39% |
6.28% |
7.28% |
8.51% |
13.14% |
12.35% |
| Max Decline |
12.61% |
18.65% |
6.93% |
7.89% |
13.51% |
18.97% |
14.13% |
15.49% |
25.76% |
23.68% |
52.11% |
| Avg Days To Max Decline |
13 |
10 |
7 |
17 |
16 |
17 |
16 |
12 |
19 |
13 |
15 |
| Avg Max Increase |
-0.47% |
-1.45% |
-3.10% |
-3.34% |
-0.98% |
-1.73% |
-5.18% |
-2.37% |
-4.87% |
-2.29% |
-1.42% |
| Max Increase |
-1.54% |
-3.71% |
-5.32% |
-6.82% |
-6.39% |
-7.53% |
-19.07% |
-5.36% |
-16.69% |
-4.70% |
-4.89% |
| Avg Days to Max Increase |
2 |
7 |
10 |
19 |
2 |
7 |
16 |
24 |
11 |
5 |
4 |
| 2002 Contract Condition |
|
|
|
|
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
| Action |
|
|
|
|
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
| High |
74.54 |
78.10 |
76.10 |
80.15 |
83.50 |
84.20 |
77.25 |
79.85 |
86.80 |
69.10 |
64.35 |
| Low |
69.55 |
71.70 |
71.09 |
71.00 |
77.00 |
74.00 |
70.36 |
73.00 |
62.60 |
60.90 |
50.70 |
| Close/Last |
71.31 |
71.81 |
72.87 |
78.51 |
80.36 |
75.08 |
72.90 |
78.44 |
68.29 |
61.74 |
54.59 |
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