|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Heating Oil(NYM) as of Jan 07, 2009 |
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 |
18 |
21 |
22 |
28 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
| Closed Higher |
14 |
15 |
10 |
14 |
18 |
17 |
19 |
16 |
12 |
16 |
10 |
| Exceeded High |
14 |
12 |
8 |
14 |
15 |
16 |
15 |
13 |
9 |
14 |
6 |
| Scenario Percentage |
100% |
80% |
80% |
100% |
83% |
94% |
79% |
81% |
75% |
88% |
60% |
| Avg Max Increase |
8.25% |
6.33% |
9.54% |
10.44% |
11.96% |
9.58% |
8.63% |
11.17% |
17.16% |
12.28% |
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 |
18 |
17 |
23 |
19 |
18 |
17 |
14 |
19 |
14 |
17 |
14 |
| Avg Max Decline |
-2.27% |
-2.04% |
-1.63% |
-2.55% |
-1.42% |
-2.03% |
-2.16% |
-2.43% |
-1.74% |
-3.70% |
-2.06% |
| Max Decline |
-8.64% |
-7.69% |
-5.71% |
-17.69% |
-7.37% |
-10.58% |
-10.07% |
-8.35% |
-8.11% |
-13.01% |
-9.13% |
| Avg Days to Max Decline |
11 |
8 |
10 |
13 |
10 |
9 |
6 |
12 |
4 |
10 |
4 |
| 2008 Contract Condition |
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
|
| Action |
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
|
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 |
18 |
21 |
22 |
28 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
| Closed Lower |
4 |
6 |
12 |
14 |
10 |
12 |
10 |
13 |
17 |
13 |
19 |
| Penetrated Low |
2 |
4 |
8 |
11 |
5 |
7 |
7 |
12 |
17 |
11 |
14 |
| Scenario Percentage |
50% |
67% |
67% |
79% |
50% |
58% |
70% |
92% |
100% |
85% |
74% |
| Avg Max Decline |
2.47% |
4.56% |
8.46% |
4.97% |
5.46% |
7.33% |
8.31% |
12.77% |
10.76% |
15.14% |
15.66% |
| Max Decline |
2.98% |
5.86% |
17.48% |
12.04% |
12.48% |
19.59% |
22.85% |
21.49% |
29.13% |
37.84% |
50.75% |
| Avg Days To Max Decline |
12 |
18 |
14 |
18 |
16 |
16 |
15 |
18 |
20 |
15 |
14 |
| Avg Max Increase |
-2.00% |
-3.36% |
-1.47% |
-1.70% |
-3.98% |
-3.70% |
-2.11% |
-2.37% |
-4.29% |
-2.44% |
-5.06% |
| Max Increase |
-2.05% |
-5.79% |
-8.44% |
-6.90% |
-12.77% |
-14.75% |
-6.12% |
-7.64% |
-12.74% |
-14.44% |
-24.78% |
| Avg Days to Max Increase |
15 |
12 |
3 |
10 |
16 |
19 |
11 |
10 |
16 |
12 |
11 |
| 2008 Contract Condition |
|
|
Yes |
|
|
Yes |
|
|
Yes |
|
Yes |
| Action |
|
|
No |
|
|
No |
|
|
Yes |
|
Yes |
| High |
204.50 |
207.80 |
210.00 |
214.00 |
219.43 |
214.25 |
226.00 |
250.88 |
266.54 |
266.40 |
273.27 |
| Low |
186.47 |
197.86 |
198.20 |
203.03 |
210.90 |
199.95 |
208.25 |
216.88 |
246.50 |
246.13 |
239.75 |
| Close/Last |
202.79 |
204.18 |
202.96 |
211.24 |
215.87 |
206.34 |
221.31 |
250.88 |
246.75 |
263.69 |
252.91 |
|
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