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| MRCI's ScenarioSM Study |
| ScenarioSM Study for April 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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
16 |
18 |
23 |
23 |
24 |
25 |
25 |
25 |
26 |
26 |
26 |
| Closed Higher |
12 |
8 |
10 |
14 |
15 |
16 |
14 |
10 |
13 |
12 |
11 |
| Exceeded High |
10 |
6 |
10 |
12 |
14 |
11 |
10 |
8 |
12 |
9 |
11 |
| Scenario Percentage |
83% |
75% |
100% |
86% |
93% |
69% |
71% |
80% |
92% |
75% |
100% |
| Avg Max Increase |
5.85% |
7.51% |
10.70% |
11.68% |
9.26% |
7.16% |
10.88% |
16.38% |
10.74% |
14.47% |
10.86% |
| Max Increase |
12.77% |
15.10% |
23.82% |
59.17% |
31.26% |
18.91% |
23.56% |
28.14% |
37.44% |
28.18% |
27.13% |
| Avg Days To Max Increase |
15 |
23 |
21 |
17 |
16 |
15 |
21 |
16 |
17 |
13 |
17 |
| Avg Max Decline |
-1.66% |
-1.49% |
-2.82% |
-1.01% |
-1.85% |
-1.68% |
-2.78% |
-1.83% |
-3.30% |
-3.21% |
-2.54% |
| Max Decline |
-6.43% |
-4.54% |
-14.20% |
-3.56% |
-8.59% |
-8.11% |
-8.29% |
-8.06% |
-10.05% |
-8.19% |
-9.12% |
| Avg Days to Max Decline |
8 |
12 |
16 |
9 |
9 |
6 |
14 |
4 |
14 |
7 |
4 |
| 2002 Contract Condition |
Yes |
Yes |
|
|
Yes |
|
|
|
|
|
Yes |
| Action |
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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
16 |
18 |
23 |
23 |
24 |
25 |
25 |
25 |
26 |
26 |
26 |
| Closed Lower |
4 |
10 |
13 |
9 |
9 |
9 |
11 |
15 |
13 |
14 |
15 |
| Penetrated Low |
2 |
8 |
10 |
4 |
4 |
8 |
10 |
15 |
12 |
11 |
12 |
| Scenario Percentage |
50% |
80% |
77% |
44% |
44% |
89% |
91% |
100% |
92% |
79% |
80% |
| Avg Max Decline |
3.68% |
7.58% |
4.12% |
5.48% |
5.23% |
6.43% |
12.87% |
12.64% |
13.41% |
13.03% |
10.89% |
| Max Decline |
5.22% |
13.97% |
11.24% |
11.82% |
15.22% |
21.05% |
22.23% |
30.25% |
36.13% |
22.36% |
46.41% |
| Avg Days To Max Decline |
20 |
12 |
11 |
17 |
12 |
16 |
16 |
20 |
20 |
14 |
11 |
| Avg Max Increase |
-4.26% |
-1.58% |
-1.78% |
-4.66% |
-4.93% |
-4.89% |
-1.52% |
-2.78% |
-3.75% |
-3.10% |
-2.57% |
| Max Increase |
-5.93% |
-8.90% |
-7.45% |
-12.41% |
-13.21% |
-15.93% |
-3.38% |
-10.76% |
-12.52% |
-11.25% |
-11.76% |
| Avg Days to Max Increase |
11 |
3 |
6 |
20 |
18 |
17 |
4 |
13 |
14 |
7 |
8 |
| 2002 Contract Condition |
|
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
Yes |
Yes |
|
| Action |
|
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
Yes |
Not Yet |
|
| High |
73.60 |
75.85 |
76.15 |
72.10 |
73.00 |
77.00 |
66.25 |
61.55 |
58.38 |
58.90 |
57.40 |
| Low |
66.36 |
71.66 |
69.40 |
66.86 |
68.43 |
60.40 |
59.50 |
51.35 |
52.05 |
50.75 |
51.40 |
| Close/Last |
72.21 |
73.61 |
70.18 |
68.50 |
72.24 |
65.04 |
59.54 |
54.84 |
54.73 |
53.31 |
57.15 |
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