|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for April Heating Oil(NYM) as of Jan 06, 2009 |
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 |
19 |
21 |
26 |
26 |
27 |
28 |
28 |
28 |
29 |
29 |
29 |
| Closed Higher |
14 |
9 |
13 |
17 |
16 |
18 |
15 |
11 |
15 |
13 |
13 |
| Exceeded High |
12 |
7 |
13 |
15 |
15 |
12 |
11 |
8 |
14 |
9 |
13 |
| Scenario Percentage |
86% |
78% |
100% |
88% |
94% |
67% |
73% |
73% |
93% |
69% |
100% |
| Avg Max Increase |
5.59% |
10.17% |
10.63% |
11.28% |
8.91% |
8.17% |
10.47% |
16.38% |
10.42% |
14.47% |
10.83% |
| Max Increase |
12.77% |
26.14% |
23.82% |
59.17% |
31.26% |
19.31% |
23.56% |
28.14% |
37.44% |
28.18% |
27.13% |
| Avg Days To Max Increase |
15 |
21 |
20 |
16 |
15 |
15 |
21 |
16 |
18 |
13 |
18 |
| Avg Max Decline |
-1.87% |
-1.08% |
-2.24% |
-1.13% |
-1.67% |
-1.69% |
-2.76% |
-1.83% |
-3.64% |
-3.21% |
-2.82% |
| Max Decline |
-6.43% |
-4.54% |
-14.20% |
-7.27% |
-8.59% |
-8.11% |
-8.29% |
-8.06% |
-10.05% |
-8.19% |
-9.12% |
| Avg Days to Max Decline |
8 |
10 |
15 |
9 |
9 |
6 |
16 |
4 |
14 |
7 |
5 |
| 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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
19 |
21 |
26 |
26 |
27 |
28 |
28 |
28 |
29 |
29 |
29 |
| Closed Lower |
5 |
12 |
13 |
9 |
11 |
10 |
13 |
17 |
14 |
16 |
16 |
| Penetrated Low |
3 |
8 |
10 |
4 |
5 |
9 |
12 |
17 |
13 |
11 |
13 |
| Scenario Percentage |
60% |
67% |
77% |
44% |
45% |
90% |
92% |
100% |
93% |
69% |
81% |
| Avg Max Decline |
4.11% |
7.58% |
4.12% |
5.48% |
7.86% |
6.59% |
11.71% |
11.37% |
13.34% |
13.03% |
14.07% |
| Max Decline |
5.22% |
13.97% |
11.24% |
11.82% |
18.41% |
21.05% |
22.23% |
30.25% |
36.13% |
22.36% |
52.23% |
| Avg Days To Max Decline |
19 |
12 |
11 |
17 |
15 |
14 |
18 |
21 |
20 |
14 |
10 |
| Avg Max Increase |
-3.86% |
-1.58% |
-1.78% |
-4.66% |
-3.81% |
-4.33% |
-2.05% |
-3.71% |
-3.38% |
-3.10% |
-3.18% |
| Max Increase |
-5.93% |
-8.90% |
-7.45% |
-12.41% |
-13.21% |
-15.93% |
-6.84% |
-11.82% |
-12.52% |
-11.25% |
-12.15% |
| Avg Days to Max Increase |
10 |
3 |
6 |
20 |
14 |
15 |
9 |
14 |
13 |
7 |
10 |
| 2008 Contract Condition |
|
Yes |
|
|
Yes |
|
|
Yes |
|
Yes |
|
| Action |
|
No |
|
|
No |
|
|
Yes |
|
No |
|
| High |
202.60 |
205.20 |
209.60 |
215.00 |
209.50 |
222.50 |
245.68 |
259.15 |
261.40 |
268.93 |
284.12 |
| Low |
193.56 |
194.00 |
199.13 |
206.40 |
196.05 |
204.15 |
213.23 |
240.50 |
239.50 |
236.60 |
238.80 |
| Close/Last |
199.68 |
199.11 |
206.44 |
211.42 |
202.24 |
217.21 |
245.68 |
240.50 |
259.59 |
250.76 |
280.69 |
|
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