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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March 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 |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
| Tested Years |
16 |
19 |
20 |
26 |
27 |
27 |
27 |
27 |
27 |
27 |
27 |
| Closed Higher |
12 |
13 |
10 |
12 |
16 |
17 |
18 |
15 |
11 |
15 |
10 |
| Exceeded High |
12 |
10 |
8 |
12 |
14 |
16 |
14 |
12 |
9 |
13 |
6 |
| Scenario Percentage |
100% |
77% |
80% |
100% |
88% |
94% |
78% |
80% |
82% |
87% |
60% |
| Avg Max Increase |
8.42% |
6.78% |
9.54% |
11.43% |
12.48% |
9.58% |
7.79% |
11.58% |
17.16% |
12.65% |
12.14% |
| Max Increase |
17.87% |
12.75% |
25.61% |
24.85% |
62.05% |
33.12% |
23.00% |
25.47% |
34.25% |
41.13% |
26.53% |
| Avg Days To Max Increase |
19 |
17 |
23 |
20 |
17 |
17 |
13 |
19 |
14 |
16 |
14 |
| Avg Max Decline |
-2.40% |
-1.84% |
-1.63% |
-2.90% |
-1.00% |
-2.03% |
-2.17% |
-2.49% |
-1.74% |
-3.29% |
-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 |
11 |
8 |
10 |
14 |
9 |
9 |
6 |
12 |
4 |
9 |
4 |
| 2007 Contract Condition |
Yes |
Yes |
|
Yes |
Yes |
|
|
|
|
|
|
| Action |
Yes |
Yes |
|
Yes |
No |
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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 |
16 |
19 |
20 |
26 |
27 |
27 |
27 |
27 |
27 |
27 |
27 |
| Closed Lower |
4 |
6 |
10 |
14 |
10 |
10 |
9 |
12 |
16 |
12 |
17 |
| Penetrated Low |
2 |
4 |
8 |
11 |
5 |
6 |
6 |
11 |
16 |
10 |
12 |
| Scenario Percentage |
50% |
67% |
80% |
79% |
50% |
60% |
67% |
92% |
100% |
83% |
71% |
| Avg Max Decline |
2.47% |
4.56% |
8.46% |
4.97% |
5.46% |
5.29% |
8.29% |
13.46% |
11.26% |
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 |
17 |
20 |
15 |
15 |
| Avg Max Increase |
-2.00% |
-3.36% |
-1.47% |
-1.70% |
-3.98% |
-4.40% |
-2.49% |
-1.89% |
-3.89% |
-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 |
12 |
3 |
10 |
16 |
22 |
12 |
8 |
15 |
13 |
8 |
| 2007 Contract Condition |
|
|
Yes |
|
|
Yes |
Yes |
Yes |
|
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| Action |
|
|
No |
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Yes |
Yes |
Not Yet |
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| High |
204.25 |
223.26 |
225.84 |
225.75 |
234.00 |
234.00 |
214.75 |
189.10 |
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| Low |
187.75 |
202.67 |
211.50 |
212.00 |
219.50 |
211.00 |
182.00 |
173.50 |
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| Close/Last |
203.73 |
218.52 |
218.08 |
222.66 |
225.96 |
215.76 |
189.37 |
176.70 |
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