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| MRCI's ScenarioSM Study |
| ScenarioSM Study for May 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 |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
| Tested Years |
17 |
21 |
22 |
25 |
25 |
26 |
26 |
26 |
26 |
26 |
26 |
| Closed Higher |
8 |
10 |
15 |
16 |
15 |
13 |
12 |
11 |
11 |
11 |
17 |
| Exceeded High |
6 |
10 |
12 |
15 |
8 |
10 |
9 |
10 |
9 |
10 |
14 |
| Scenario Percentage |
75% |
100% |
80% |
94% |
53% |
77% |
75% |
91% |
82% |
91% |
82% |
| Avg Max Increase |
7.17% |
10.40% |
10.78% |
7.74% |
9.00% |
11.33% |
12.86% |
10.34% |
14.31% |
14.36% |
10.24% |
| Max Increase |
13.99% |
23.36% |
56.36% |
29.50% |
18.32% |
21.64% |
25.04% |
29.39% |
27.08% |
29.40% |
19.16% |
| Avg Days To Max Increase |
23 |
19 |
19 |
17 |
15 |
19 |
13 |
19 |
15 |
14 |
20 |
| Avg Max Decline |
-1.56% |
-2.43% |
-1.13% |
-1.72% |
-1.50% |
-1.94% |
-1.33% |
-2.40% |
-2.57% |
-1.97% |
-1.90% |
| Max Decline |
-4.80% |
-12.79% |
-3.27% |
-6.87% |
-7.85% |
-5.83% |
-8.29% |
-5.16% |
-7.04% |
-10.28% |
-8.30% |
| Avg Days to Max Decline |
10 |
10 |
11 |
8 |
4 |
9 |
6 |
13 |
7 |
6 |
2 |
| 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 |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
| Tested Years |
17 |
21 |
22 |
25 |
25 |
26 |
26 |
26 |
26 |
26 |
26 |
| Closed Lower |
9 |
11 |
7 |
9 |
10 |
13 |
14 |
15 |
15 |
15 |
9 |
| Penetrated Low |
6 |
8 |
4 |
5 |
7 |
12 |
12 |
12 |
12 |
12 |
7 |
| Scenario Percentage |
67% |
73% |
57% |
56% |
70% |
92% |
86% |
80% |
80% |
80% |
78% |
| Avg Max Decline |
5.15% |
3.49% |
5.02% |
5.59% |
7.71% |
11.78% |
11.79% |
14.08% |
13.45% |
6.90% |
15.61% |
| Max Decline |
7.64% |
10.22% |
10.04% |
15.41% |
20.25% |
21.99% |
26.71% |
39.03% |
32.40% |
20.93% |
33.87% |
| Avg Days To Max Decline |
13 |
15 |
17 |
10 |
15 |
16 |
20 |
20 |
17 |
11 |
11 |
| Avg Max Increase |
-0.61% |
-2.12% |
-3.79% |
-4.19% |
-2.29% |
-1.74% |
-2.49% |
-3.41% |
-2.85% |
-1.83% |
-6.25% |
| Max Increase |
-2.79% |
-6.62% |
-9.00% |
-12.53% |
-6.39% |
-6.54% |
-8.70% |
-9.89% |
-10.85% |
-12.26% |
-13.62% |
| Avg Days to Max Increase |
1 |
7 |
21 |
18 |
11 |
4 |
13 |
12 |
7 |
5 |
10 |
| 2002 Contract Condition |
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
| Action |
|
Yes |
Yes |
|
Yes |
Yes |
No |
Yes |
No |
|
|
| High |
73.25 |
73.50 |
69.88 |
70.40 |
72.70 |
64.95 |
60.30 |
58.10 |
58.25 |
57.50 |
67.90 |
| Low |
69.16 |
67.45 |
65.46 |
66.18 |
60.00 |
57.75 |
50.87 |
52.00 |
51.10 |
52.10 |
58.10 |
| Close/Last |
71.11 |
68.18 |
66.70 |
69.64 |
63.79 |
58.39 |
54.44 |
54.13 |
53.56 |
57.25 |
67.33 |
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