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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March 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 |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
| Tested Years |
15 |
18 |
19 |
25 |
26 |
26 |
26 |
26 |
26 |
26 |
26 |
| Closed Higher |
11 |
13 |
9 |
11 |
15 |
16 |
17 |
15 |
11 |
14 |
9 |
| Exceeded High |
11 |
10 |
7 |
11 |
13 |
15 |
14 |
12 |
9 |
12 |
6 |
| Scenario Percentage |
100% |
77% |
78% |
100% |
87% |
94% |
82% |
80% |
82% |
86% |
67% |
| Avg Max Increase |
8.76% |
6.78% |
7.24% |
10.26% |
11.76% |
9.93% |
7.79% |
11.58% |
17.16% |
13.11% |
12.14% |
| Max Increase |
17.87% |
12.75% |
16.09% |
24.85% |
62.05% |
33.12% |
23.00% |
25.47% |
34.25% |
41.13% |
26.53% |
| Avg Days To Max Increase |
20 |
17 |
25 |
19 |
18 |
18 |
13 |
19 |
14 |
16 |
14 |
| Avg Max Decline |
-2.68% |
-1.84% |
-2.03% |
-2.99% |
-1.19% |
-2.21% |
-2.17% |
-2.49% |
-1.74% |
-3.25% |
-2.06% |
| Max Decline |
-8.64% |
-7.69% |
-5.71% |
-17.69% |
-3.99% |
-10.58% |
-10.07% |
-8.35% |
-8.11% |
-13.01% |
-9.13% |
| Avg Days to Max Decline |
12 |
8 |
11 |
14 |
10 |
9 |
6 |
12 |
4 |
9 |
4 |
| 2002 Contract Condition |
Yes |
Yes |
Yes |
|
|
Yes |
|
|
|
Yes |
|
| Action |
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 |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
| Tested Years |
15 |
18 |
19 |
25 |
26 |
26 |
26 |
26 |
26 |
26 |
26 |
| Closed Lower |
4 |
5 |
10 |
14 |
10 |
10 |
9 |
11 |
15 |
12 |
17 |
| Penetrated Low |
2 |
3 |
8 |
11 |
5 |
6 |
6 |
10 |
15 |
10 |
12 |
| Scenario Percentage |
50% |
60% |
80% |
79% |
50% |
60% |
67% |
91% |
100% |
83% |
71% |
| Avg Max Decline |
2.47% |
4.46% |
8.46% |
4.97% |
5.46% |
5.29% |
8.29% |
13.73% |
11.77% |
15.44% |
13.75% |
| Max Decline |
2.98% |
5.86% |
17.48% |
12.04% |
12.48% |
14.55% |
22.85% |
21.49% |
29.13% |
37.84% |
50.75% |
| Avg Days To Max Decline |
12 |
18 |
14 |
18 |
16 |
13 |
17 |
16 |
19 |
15 |
15 |
| Avg Max Increase |
-2.00% |
-3.48% |
-1.47% |
-1.70% |
-3.98% |
-4.40% |
-2.49% |
-1.90% |
-3.48% |
-2.70% |
-4.35% |
| Max Increase |
-2.05% |
-5.79% |
-8.44% |
-6.90% |
-12.77% |
-14.75% |
-6.12% |
-4.72% |
-12.74% |
-14.44% |
-24.78% |
| Avg Days to Max Increase |
15 |
13 |
3 |
10 |
16 |
22 |
12 |
4 |
15 |
13 |
8 |
| 2002 Contract Condition |
|
|
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
| Action |
|
|
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
No |
| High |
72.61 |
76.10 |
78.90 |
79.50 |
74.20 |
75.90 |
79.50 |
67.30 |
63.40 |
59.30 |
59.20 |
| Low |
68.53 |
68.26 |
73.80 |
71.65 |
68.41 |
70.73 |
61.70 |
60.30 |
51.30 |
51.40 |
50.10 |
| Close/Last |
69.92 |
74.81 |
76.26 |
72.38 |
70.50 |
74.99 |
66.49 |
60.54 |
55.14 |
55.18 |
53.16 |
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