|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for January Heating Oil(NYM) as of Sep 30, 2006 |
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 |
15 |
17 |
21 |
23 |
26 |
27 |
27 |
27 |
27 |
27 |
27 |
| Closed Higher |
9 |
9 |
15 |
15 |
14 |
11 |
17 |
17 |
19 |
11 |
10 |
| Exceeded High |
8 |
8 |
14 |
12 |
10 |
11 |
14 |
17 |
15 |
9 |
7 |
| Scenario Percentage |
89% |
89% |
93% |
80% |
71% |
100% |
82% |
100% |
79% |
82% |
70% |
| Avg Max Increase |
12.63% |
11.19% |
8.50% |
11.01% |
9.42% |
12.03% |
15.02% |
10.02% |
7.52% |
12.57% |
21.43% |
| Max Increase |
28.58% |
23.82% |
18.16% |
52.14% |
24.39% |
24.90% |
71.34% |
38.14% |
17.09% |
26.77% |
65.02% |
| Avg Days To Max Increase |
15 |
13 |
20 |
17 |
17 |
20 |
18 |
15 |
15 |
18 |
24 |
| Avg Max Decline |
-1.44% |
-0.67% |
-2.68% |
-1.91% |
-1.51% |
-2.08% |
-1.48% |
-2.57% |
-3.33% |
-1.82% |
-2.28% |
| Max Decline |
-4.68% |
-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 |
10 |
6 |
10 |
7 |
15 |
8 |
9 |
10 |
5 |
5 |
| 2007 Contract Condition |
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
|
|
|
|
| Action |
No |
|
Yes |
Yes |
|
Yes |
No |
|
|
|
|
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 |
15 |
17 |
21 |
23 |
26 |
27 |
27 |
27 |
27 |
27 |
27 |
| Closed Lower |
6 |
8 |
6 |
8 |
12 |
16 |
10 |
10 |
8 |
16 |
17 |
| Penetrated Low |
5 |
6 |
4 |
6 |
10 |
13 |
5 |
5 |
7 |
14 |
16 |
| Scenario Percentage |
83% |
75% |
67% |
75% |
83% |
81% |
50% |
50% |
88% |
88% |
94% |
| Avg Max Decline |
7.68% |
5.63% |
4.55% |
5.98% |
7.30% |
7.39% |
6.28% |
7.28% |
8.51% |
12.99% |
14.70% |
| Max Decline |
12.61% |
18.65% |
6.93% |
7.89% |
13.51% |
18.97% |
14.13% |
15.49% |
25.76% |
23.68% |
55.28% |
| Avg Days To Max Decline |
13 |
10 |
7 |
17 |
16 |
17 |
16 |
12 |
19 |
14 |
13 |
| Avg Max Increase |
-0.47% |
-1.45% |
-3.10% |
-3.31% |
-0.98% |
-1.73% |
-5.18% |
-2.37% |
-4.87% |
-2.18% |
-1.96% |
| Max Increase |
-1.54% |
-3.71% |
-5.32% |
-6.82% |
-6.39% |
-7.53% |
-19.07% |
-5.36% |
-16.69% |
-4.70% |
-10.08% |
| Avg Days to Max Increase |
2 |
7 |
10 |
17 |
2 |
7 |
16 |
24 |
11 |
5 |
5 |
| 2007 Contract Condition |
|
Yes |
|
|
Yes |
|
|
Yes |
Yes |
Yes |
|
| Action |
|
No |
|
|
No |
|
|
Yes |
Not Yet |
|
|
| High |
207.00 |
207.00 |
206.00 |
226.26 |
230.00 |
226.00 |
234.00 |
233.40 |
214.25 |
186.30 |
|
| Low |
190.75 |
185.50 |
188.00 |
203.65 |
212.00 |
212.49 |
219.75 |
209.50 |
177.95 |
181.82 |
|
| Close/Last |
206.24 |
192.86 |
205.18 |
220.77 |
219.13 |
223.06 |
224.71 |
214.66 |
186.07 |
181.82 |
|
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