|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for February 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 |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
| Tested Years |
16 |
19 |
21 |
23 |
26 |
26 |
26 |
26 |
26 |
26 |
26 |
| Closed Higher |
8 |
14 |
13 |
11 |
11 |
16 |
16 |
18 |
13 |
11 |
13 |
| Exceeded High |
7 |
13 |
10 |
9 |
11 |
14 |
16 |
14 |
10 |
8 |
12 |
| Scenario Percentage |
88% |
93% |
77% |
82% |
100% |
88% |
100% |
78% |
77% |
73% |
92% |
| Avg Max Increase |
9.26% |
8.48% |
6.95% |
7.54% |
10.92% |
12.58% |
9.95% |
7.81% |
13.39% |
23.85% |
12.38% |
| Max Increase |
18.77% |
17.51% |
13.86% |
16.07% |
25.14% |
65.58% |
34.76% |
18.54% |
34.13% |
55.32% |
44.01% |
| Avg Days To Max Increase |
14 |
21 |
17 |
18 |
19 |
18 |
18 |
15 |
19 |
15 |
15 |
| Avg Max Decline |
-0.62% |
-2.36% |
-2.07% |
-1.61% |
-3.04% |
-1.24% |
-2.64% |
-2.46% |
-2.48% |
-2.26% |
-1.84% |
| Max Decline |
-3.05% |
-8.55% |
-8.89% |
-5.26% |
-16.83% |
-4.52% |
-12.52% |
-12.46% |
-8.80% |
-6.73% |
-6.52% |
| Avg Days to Max Decline |
11 |
8 |
11 |
11 |
14 |
9 |
7 |
8 |
10 |
5 |
6 |
| 2002 Contract Condition |
Yes |
Yes |
Yes |
Yes |
|
|
Yes |
|
|
|
Yes |
| Action |
Yes |
Yes |
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 |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
| Tested Years |
16 |
19 |
21 |
23 |
26 |
26 |
26 |
26 |
26 |
26 |
26 |
| Closed Lower |
8 |
5 |
8 |
12 |
15 |
10 |
10 |
8 |
13 |
15 |
13 |
| Penetrated Low |
6 |
3 |
5 |
9 |
12 |
5 |
6 |
6 |
11 |
15 |
10 |
| Scenario Percentage |
75% |
60% |
63% |
75% |
80% |
50% |
60% |
75% |
85% |
100% |
77% |
| Avg Max Decline |
5.30% |
2.73% |
5.83% |
8.13% |
6.13% |
5.69% |
5.69% |
8.41% |
13.64% |
12.09% |
21.12% |
| Max Decline |
17.08% |
3.75% |
8.04% |
16.22% |
18.93% |
12.92% |
14.62% |
24.31% |
22.51% |
28.79% |
55.73% |
| Avg Days To Max Decline |
10 |
8 |
17 |
14 |
15 |
11 |
13 |
15 |
13 |
19 |
19 |
| Avg Max Increase |
-1.70% |
-2.96% |
-3.13% |
-1.83% |
-1.39% |
-4.97% |
-4.47% |
-4.07% |
-1.94% |
-3.97% |
-3.21% |
| Max Increase |
-4.04% |
-5.32% |
-6.60% |
-7.53% |
-7.40% |
-18.08% |
-15.56% |
-16.37% |
-4.36% |
-15.03% |
-17.42% |
| Avg Days to Max Increase |
6 |
12 |
18 |
3 |
5 |
17 |
24 |
11 |
5 |
16 |
11 |
| 2002 Contract Condition |
|
|
|
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
| Action |
|
|
|
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
| High |
77.00 |
75.10 |
79.70 |
81.90 |
82.40 |
76.35 |
78.20 |
85.43 |
68.90 |
64.35 |
60.00 |
| Low |
70.86 |
70.49 |
70.31 |
76.00 |
73.60 |
70.01 |
72.40 |
63.00 |
60.90 |
51.50 |
50.70 |
| Close/Last |
70.86 |
72.07 |
77.56 |
79.06 |
74.63 |
72.35 |
77.59 |
68.04 |
61.74 |
55.24 |
55.33 |
|
|