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| MRCI's ScenarioSM Study |
| ScenarioSM Study for May Heating Oil(NYM) as of Sep 17, 2001 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
| Tested Years |
13 |
17 |
18 |
21 |
21 |
22 |
22 |
22 |
22 |
22 |
22 |
| Closed Higher |
5 |
7 |
12 |
13 |
14 |
11 |
10 |
9 |
8 |
7 |
15 |
| Exceeded High |
3 |
7 |
9 |
12 |
7 |
9 |
7 |
8 |
6 |
6 |
12 |
| Scenario Percentage |
60% |
100% |
75% |
92% |
50% |
82% |
70% |
89% |
75% |
86% |
80% |
| Avg Max Increase |
6.29% |
9.37% |
11.18% |
8.55% |
8.29% |
10.90% |
10.88% |
7.86% |
11.04% |
13.68% |
10.83% |
| Max Increase |
9.52% |
19.25% |
56.36% |
29.50% |
18.32% |
21.64% |
25.04% |
21.26% |
26.43% |
29.40% |
19.16% |
| Avg Days To Max Increase |
22 |
17 |
19 |
18 |
14 |
19 |
10 |
17 |
14 |
17 |
23 |
| Avg Max Decline |
-1.36% |
-3.19% |
-1.19% |
-1.20% |
-1.67% |
-1.94% |
-1.49% |
-2.37% |
-1.89% |
-0.92% |
-2.28% |
| Max Decline |
-4.80% |
-12.79% |
-3.27% |
-5.93% |
-7.85% |
-5.83% |
-8.29% |
-5.16% |
-4.88% |
-2.70% |
-8.30% |
| Avg Days to Max Decline |
11 |
9 |
9 |
8 |
5 |
10 |
7 |
11 |
9 |
4 |
3 |
| 2001 Contract Condition |
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
|
|
|
Yes |
| Action |
Yes |
Yes |
|
Yes |
Yes |
|
No |
|
|
|
Yes |
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
| Tested Years |
13 |
17 |
18 |
21 |
21 |
22 |
22 |
22 |
22 |
22 |
22 |
| Closed Lower |
8 |
10 |
6 |
8 |
7 |
11 |
12 |
13 |
14 |
15 |
7 |
| Penetrated Low | 6 |
7 |
3 |
5 |
5 |
10 |
11 |
10 |
12 |
12 |
5 |
| Scenario Percentage |
75% |
70% |
50% |
63% |
71% |
91% |
92% |
77% |
86% |
80% |
71% |
| Avg Max Decline |
5.15% |
3.42% |
3.34% |
5.59% |
4.67% |
12.18% |
11.64% |
15.95% |
13.45% |
6.90% |
11.85% |
| Max Decline |
7.64% |
10.22% |
6.32% |
15.41% |
6.36% |
21.99% |
26.71% |
39.03% |
32.40% |
20.93% |
31.09% |
| Avg Days To Max Decline |
13 |
14 |
14 |
10 |
16 |
16 |
21 |
21 |
17 |
11 |
13 |
| Avg Max Increase |
-0.61% |
-2.07% |
-2.05% |
-4.19% |
-2.39% |
-1.76% |
-2.80% |
-3.58% |
-2.85% |
-1.83% |
-6.08% |
| Max Increase |
-2.79% |
-6.62% |
-4.07% |
-12.53% |
-6.39% |
-6.54% |
-8.70% |
-9.89% |
-10.85% |
-12.26% |
-13.62% |
| Avg Days to Max Increase |
1 |
7 |
12 |
18 |
14 |
4 |
12 |
14 |
7 |
5 |
7 |
| 2001 Contract Condition |
|
|
Yes |
|
|
Yes |
|
Yes |
Yes |
Yes |
|
| Action |
|
|
No |
|
|
Yes |
|
No |
Yes |
Yes |
|
| High |
67.15 |
70.60 |
71.00 |
78.92 |
84.40 |
89.00 |
84.20 |
80.00 |
76.90 |
78.77 |
74.00 |
| Low |
59.65 |
65.40 |
66.25 |
68.00 |
77.64 |
77.70 |
77.00 |
68.33 |
69.50 |
69.20 |
66.45 |
| Close/Last |
64.83 |
68.73 |
67.50 |
78.60 |
79.16 |
79.03 |
80.15 |
71.44 |
71.06 |
69.46 |
70.42 |
|
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