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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Heating Oil(NYM) as of Sep 10, 2010 |
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 |
20 |
23 |
24 |
30 |
31 |
31 |
31 |
31 |
31 |
31 |
31 |
| Closed Higher |
16 |
16 |
12 |
16 |
19 |
17 |
19 |
17 |
13 |
17 |
10 |
| Exceeded High |
16 |
13 |
10 |
16 |
16 |
16 |
15 |
13 |
10 |
15 |
6 |
| Scenario Percentage |
100% |
81% |
83% |
100% |
84% |
94% |
79% |
76% |
77% |
88% |
60% |
| Avg Max Increase |
11.02% |
8.14% |
9.90% |
9.88% |
11.55% |
9.58% |
8.66% |
11.21% |
16.06% |
11.40% |
12.14% |
| Max Increase |
42.43% |
29.78% |
25.61% |
24.85% |
62.05% |
33.12% |
23.00% |
25.47% |
34.25% |
41.13% |
26.53% |
| Avg Days To Max Increase |
19 |
18 |
20 |
17 |
17 |
17 |
14 |
19 |
14 |
16 |
14 |
| Avg Max Decline |
-2.38% |
-2.10% |
-1.49% |
-3.33% |
-1.29% |
-2.08% |
-2.20% |
-2.57% |
-2.39% |
-3.40% |
-2.11% |
| Max Decline |
-8.64% |
-7.69% |
-5.71% |
-17.69% |
-8.00% |
-10.58% |
-10.07% |
-8.35% |
-8.24% |
-13.01% |
-9.43% |
| Avg Days to Max Decline |
12 |
7 |
8 |
13 |
10 |
9 |
6 |
14 |
5 |
10 |
4 |
| 2010 Contract Condition |
Yes |
|
Yes |
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
|
| Action |
Yes |
|
Yes |
Yes |
Yes |
|
|
No |
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 |
20 |
23 |
24 |
30 |
31 |
31 |
31 |
31 |
31 |
31 |
31 |
| Closed Lower |
4 |
7 |
12 |
14 |
11 |
14 |
12 |
14 |
18 |
14 |
21 |
| Penetrated Low |
2 |
4 |
8 |
11 |
6 |
9 |
8 |
13 |
18 |
12 |
16 |
| Scenario Percentage |
50% |
57% |
67% |
79% |
55% |
64% |
67% |
93% |
100% |
86% |
76% |
| Avg Max Decline |
2.47% |
4.56% |
8.46% |
4.97% |
8.50% |
10.87% |
12.56% |
15.04% |
11.83% |
15.76% |
15.26% |
| Max Decline |
2.98% |
5.86% |
17.48% |
12.04% |
23.72% |
39.41% |
42.24% |
42.17% |
29.99% |
37.84% |
50.75% |
| Avg Days To Max Decline |
12 |
18 |
14 |
18 |
16 |
18 |
16 |
18 |
20 |
16 |
13 |
| Avg Max Increase |
-2.00% |
-3.36% |
-1.47% |
-1.70% |
-3.63% |
-2.87% |
-1.86% |
-2.64% |
-3.97% |
-3.63% |
-4.40% |
| Max Increase |
-2.05% |
-5.79% |
-8.44% |
-6.90% |
-12.77% |
-14.75% |
-6.12% |
-7.75% |
-12.74% |
-14.44% |
-19.59% |
| Avg Days to Max Increase |
15 |
12 |
3 |
10 |
13 |
17 |
10 |
9 |
15 |
12 |
9 |
| 2010 Contract Condition |
|
Yes |
|
|
|
Yes |
Yes |
|
|
|
Yes |
| Action |
|
No |
|
|
|
Yes |
No |
|
|
|
Yes |
| High |
175.93 |
172.21 |
192.02 |
209.67 |
202.60 |
211.80 |
198.38 |
221.83 |
217.92 |
214.90 |
223.20 |
| Low |
139.76 |
155.56 |
162.93 |
194.33 |
171.34 |
192.50 |
180.56 |
184.35 |
197.78 |
193.00 |
190.05 |
| Close/Last |
162.34 |
160.65 |
191.82 |
200.61 |
201.01 |
194.35 |
192.64 |
207.81 |
210.34 |
212.19 |
191.30 |
|
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