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| MRCI's ScenarioSM Study |
| ScenarioSM Study for April 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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
21 |
23 |
28 |
28 |
29 |
30 |
30 |
30 |
31 |
31 |
31 |
| Closed Higher |
15 |
11 |
15 |
18 |
16 |
18 |
16 |
12 |
16 |
13 |
14 |
| Exceeded High |
13 |
9 |
15 |
16 |
15 |
12 |
11 |
9 |
15 |
9 |
14 |
| Scenario Percentage |
87% |
82% |
100% |
89% |
94% |
67% |
69% |
75% |
94% |
69% |
100% |
| Avg Max Increase |
7.52% |
10.43% |
9.97% |
10.87% |
8.91% |
8.17% |
10.53% |
15.17% |
10.06% |
14.51% |
10.46% |
| Max Increase |
30.75% |
26.14% |
23.82% |
59.17% |
31.26% |
19.36% |
23.56% |
28.14% |
37.44% |
28.18% |
27.13% |
| Avg Days To Max Increase |
16 |
19 |
18 |
16 |
15 |
15 |
22 |
15 |
17 |
13 |
17 |
| Avg Max Decline |
-1.94% |
-1.03% |
-3.05% |
-0.98% |
-1.68% |
-1.73% |
-2.85% |
-2.55% |
-3.36% |
-3.22% |
-2.73% |
| Max Decline |
-6.43% |
-4.54% |
-14.40% |
-7.62% |
-8.59% |
-8.11% |
-8.29% |
-8.28% |
-10.05% |
-8.26% |
-9.12% |
| Avg Days to Max Decline |
7 |
9 |
14 |
9 |
9 |
6 |
15 |
5 |
13 |
7 |
5 |
| 2010 Contract Condition |
|
Yes |
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
|
Yes |
| Action |
|
Yes |
Yes |
Yes |
|
|
No |
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 |
21 |
23 |
28 |
28 |
29 |
30 |
30 |
30 |
31 |
31 |
31 |
| Closed Lower |
6 |
12 |
13 |
10 |
13 |
12 |
14 |
18 |
15 |
18 |
17 |
| Penetrated Low |
3 |
8 |
10 |
5 |
7 |
10 |
13 |
17 |
14 |
13 |
14 |
| Scenario Percentage |
50% |
67% |
77% |
50% |
54% |
83% |
93% |
94% |
93% |
72% |
82% |
| Avg Max Decline |
4.11% |
7.58% |
4.12% |
9.09% |
12.18% |
10.19% |
14.08% |
12.97% |
14.10% |
13.01% |
13.86% |
| Max Decline |
5.22% |
13.97% |
11.24% |
23.54% |
38.98% |
42.56% |
41.36% |
30.25% |
36.13% |
22.36% |
52.23% |
| Avg Days To Max Decline |
19 |
12 |
11 |
17 |
18 |
15 |
18 |
21 |
20 |
13 |
10 |
| Avg Max Increase |
-3.86% |
-1.58% |
-1.78% |
-4.11% |
-2.70% |
-3.86% |
-2.26% |
-2.97% |
-4.19% |
-3.19% |
-2.97% |
| Max Increase |
-5.93% |
-8.90% |
-7.45% |
-12.41% |
-13.21% |
-15.93% |
-6.84% |
-11.89% |
-13.07% |
-11.25% |
-12.15% |
| Avg Days to Max Increase |
10 |
3 |
6 |
16 |
13 |
14 |
6 |
13 |
13 |
6 |
10 |
| 2010 Contract Condition |
Yes |
|
|
|
Yes |
Yes |
|
|
|
Yes |
|
| Action |
No |
|
|
|
Yes |
No |
|
|
|
Yes |
|
| High |
172.38 |
192.40 |
209.30 |
202.92 |
211.23 |
198.65 |
221.22 |
218.50 |
215.98 |
223.31 |
210.00 |
| Low |
157.00 |
163.33 |
195.00 |
171.90 |
193.40 |
181.61 |
186.95 |
201.55 |
194.10 |
190.69 |
183.50 |
| Close/Last |
161.20 |
192.17 |
200.81 |
201.86 |
195.10 |
193.57 |
208.30 |
211.62 |
212.63 |
191.94 |
203.53 |
|
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