|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for February Heating Oil(NYM) as of Oct 31, 2006 |
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 |
17 |
20 |
22 |
24 |
27 |
27 |
27 |
27 |
27 |
27 |
27 |
| Closed Higher |
9 |
15 |
13 |
12 |
12 |
17 |
17 |
19 |
13 |
11 |
14 |
| Exceeded High |
8 |
14 |
10 |
10 |
12 |
15 |
17 |
14 |
10 |
8 |
12 |
| Scenario Percentage |
89% |
93% |
77% |
83% |
100% |
88% |
100% |
74% |
77% |
73% |
86% |
| Avg Max Increase |
11.09% |
8.23% |
6.95% |
9.30% |
11.77% |
13.34% |
9.67% |
7.81% |
13.39% |
23.85% |
12.38% |
| Max Increase |
23.87% |
17.51% |
13.86% |
25.18% |
25.14% |
65.58% |
34.76% |
18.54% |
34.13% |
55.32% |
44.01% |
| Avg Days To Max Increase |
13 |
20 |
17 |
17 |
20 |
17 |
17 |
15 |
19 |
15 |
15 |
| Avg Max Decline |
-0.60% |
-2.14% |
-2.07% |
-1.35% |
-3.01% |
-1.06% |
-2.43% |
-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 |
9 |
7 |
11 |
10 |
15 |
8 |
7 |
8 |
10 |
5 |
6 |
| 2007 Contract Condition |
|
Yes |
Yes |
|
Yes |
Yes |
|
|
|
|
|
| Action |
|
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 |
17 |
20 |
22 |
24 |
27 |
27 |
27 |
27 |
27 |
27 |
27 |
| Closed Lower |
8 |
5 |
9 |
12 |
15 |
10 |
10 |
8 |
14 |
16 |
13 |
| Penetrated Low |
6 |
3 |
6 |
9 |
12 |
5 |
6 |
6 |
12 |
16 |
10 |
| Scenario Percentage |
75% |
60% |
67% |
75% |
80% |
50% |
60% |
75% |
86% |
100% |
77% |
| Avg Max Decline |
5.30% |
2.73% |
5.75% |
8.13% |
6.13% |
5.69% |
5.69% |
8.41% |
13.51% |
11.58% |
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 |
14 |
19 |
19 |
| Avg Max Increase |
-1.70% |
-2.96% |
-3.11% |
-1.83% |
-1.39% |
-4.97% |
-4.47% |
-4.07% |
-1.85% |
-4.34% |
-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 |
16 |
3 |
5 |
17 |
24 |
11 |
5 |
16 |
11 |
| 2007 Contract Condition |
Yes |
|
|
Yes |
|
|
Yes |
Yes |
Yes |
|
|
| Action |
No |
|
|
No |
|
|
Yes |
Yes |
Not Yet |
|
|
| High |
209.15 |
206.30 |
226.75 |
229.50 |
227.50 |
235.50 |
235.00 |
216.50 |
188.80 |
|
|
| Low |
187.28 |
188.50 |
204.10 |
213.30 |
213.50 |
222.00 |
211.50 |
181.85 |
172.50 |
|
|
| Close/Last |
193.61 |
205.58 |
221.02 |
219.78 |
224.51 |
226.66 |
216.76 |
189.07 |
176.05 |
|
|
|
|