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| MRCI's ScenarioSM Study |
| ScenarioSM Study for April Heating Oil(NYM) as of Nov 30, 2006 |
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 |
17 |
19 |
24 |
24 |
25 |
26 |
26 |
26 |
27 |
27 |
27 |
| Closed Higher |
12 |
9 |
11 |
15 |
16 |
17 |
14 |
10 |
14 |
13 |
11 |
| Exceeded High |
10 |
7 |
11 |
13 |
15 |
11 |
10 |
8 |
13 |
9 |
11 |
| Scenario Percentage |
83% |
78% |
100% |
87% |
94% |
65% |
71% |
80% |
93% |
69% |
100% |
| Avg Max Increase |
5.85% |
10.17% |
11.66% |
12.35% |
8.91% |
7.16% |
10.88% |
16.38% |
10.51% |
14.47% |
10.86% |
| Max Increase |
12.77% |
26.14% |
23.82% |
59.17% |
31.26% |
18.91% |
23.56% |
28.14% |
37.44% |
28.18% |
27.13% |
| Avg Days To Max Increase |
15 |
21 |
22 |
16 |
15 |
15 |
21 |
16 |
17 |
13 |
17 |
| Avg Max Decline |
-1.66% |
-1.08% |
-2.65% |
-0.83% |
-1.67% |
-1.68% |
-2.78% |
-1.83% |
-3.24% |
-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 |
10 |
16 |
9 |
9 |
6 |
14 |
4 |
13 |
7 |
4 |
| 2007 Contract Condition |
Yes |
|
Yes |
Yes |
|
|
|
Yes |
|
|
|
| Action |
Yes |
|
Yes |
Yes |
|
|
|
Not Yet |
|
|
|
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 |
17 |
19 |
24 |
24 |
25 |
26 |
26 |
26 |
27 |
27 |
27 |
| Closed Lower |
5 |
10 |
13 |
9 |
9 |
9 |
12 |
16 |
13 |
14 |
16 |
| Penetrated Low |
3 |
8 |
10 |
4 |
4 |
8 |
11 |
16 |
12 |
11 |
13 |
| Scenario Percentage |
60% |
80% |
77% |
44% |
44% |
89% |
92% |
100% |
92% |
79% |
81% |
| Avg Max Decline |
4.11% |
7.58% |
4.12% |
5.48% |
5.23% |
6.43% |
12.46% |
11.98% |
13.41% |
13.03% |
14.07% |
| Max Decline |
5.22% |
13.97% |
11.24% |
11.82% |
15.22% |
21.05% |
22.23% |
30.25% |
36.13% |
22.36% |
52.23% |
| Avg Days To Max Decline |
19 |
12 |
11 |
17 |
12 |
16 |
17 |
21 |
20 |
14 |
10 |
| Avg Max Increase |
-3.86% |
-1.58% |
-1.78% |
-4.66% |
-4.93% |
-4.89% |
-1.61% |
-3.20% |
-3.75% |
-3.10% |
-2.97% |
| 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 |
10 |
3 |
6 |
20 |
18 |
17 |
7 |
13 |
14 |
7 |
9 |
| 2007 Contract Condition |
|
Yes |
|
|
Yes |
Yes |
Yes |
|
|
|
|
| Action |
|
No |
|
|
Yes |
Yes |
Yes |
|
|
|
|
| High |
217.46 |
220.50 |
219.70 |
228.75 |
229.45 |
211.30 |
188.00 |
189.00 |
|
|
|
| Low |
197.97 |
206.56 |
206.84 |
216.50 |
207.50 |
180.50 |
173.60 |
173.50 |
|
|
|
| Close/Last |
212.92 |
212.63 |
216.81 |
221.81 |
212.76 |
188.27 |
176.90 |
187.85 |
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