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| MRCI's ScenarioSM Study |
| ScenarioSM Study for May 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 |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
| Tested Years |
22 |
26 |
27 |
30 |
30 |
31 |
31 |
31 |
31 |
31 |
31 |
| Closed Higher |
12 |
15 |
19 |
17 |
17 |
15 |
14 |
14 |
12 |
14 |
22 |
| Exceeded High |
10 |
15 |
15 |
16 |
9 |
11 |
11 |
13 |
10 |
13 |
18 |
| Scenario Percentage |
83% |
100% |
79% |
94% |
53% |
73% |
79% |
93% |
83% |
93% |
82% |
| Avg Max Increase |
9.94% |
9.75% |
10.54% |
7.50% |
10.15% |
10.96% |
11.00% |
9.74% |
13.07% |
14.18% |
9.94% |
| Max Increase |
25.87% |
23.36% |
56.36% |
29.50% |
19.39% |
21.64% |
25.04% |
29.39% |
27.08% |
29.40% |
19.16% |
| Avg Days To Max Increase |
18 |
17 |
17 |
16 |
16 |
20 |
12 |
18 |
14 |
14 |
19 |
| Avg Max Decline |
-0.90% |
-2.58% |
-1.20% |
-1.58% |
-1.55% |
-2.06% |
-1.90% |
-2.46% |
-2.46% |
-2.30% |
-1.91% |
| Max Decline |
-4.80% |
-13.85% |
-7.35% |
-6.87% |
-7.85% |
-5.83% |
-8.29% |
-7.95% |
-7.14% |
-10.28% |
-8.30% |
| Avg Days to Max Decline |
6 |
10 |
11 |
8 |
4 |
11 |
6 |
13 |
7 |
7 |
2 |
| 2010 Contract Condition |
Yes |
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
| Action |
Yes |
Yes |
Yes |
|
|
No |
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 |
22 |
26 |
27 |
30 |
30 |
31 |
31 |
31 |
31 |
31 |
31 |
| Closed Lower |
10 |
11 |
8 |
13 |
13 |
16 |
17 |
17 |
19 |
17 |
9 |
| Penetrated Low |
6 |
8 |
5 |
8 |
9 |
15 |
15 |
14 |
14 |
13 |
7 |
| Scenario Percentage |
60% |
73% |
63% |
62% |
69% |
94% |
88% |
82% |
74% |
76% |
78% |
| Avg Max Decline |
5.15% |
3.49% |
8.71% |
11.27% |
11.41% |
12.85% |
11.56% |
14.71% |
13.33% |
7.19% |
15.61% |
| Max Decline |
7.64% |
10.22% |
23.48% |
38.52% |
41.64% |
40.53% |
28.47% |
39.03% |
32.40% |
20.93% |
33.87% |
| Avg Days To Max Decline |
13 |
15 |
17 |
16 |
16 |
18 |
19 |
20 |
15 |
11 |
11 |
| Avg Max Increase |
-0.61% |
-2.12% |
-3.35% |
-2.64% |
-1.68% |
-2.43% |
-2.48% |
-3.76% |
-2.96% |
-1.72% |
-6.25% |
| Max Increase |
-2.79% |
-6.62% |
-9.00% |
-12.53% |
-6.39% |
-6.54% |
-9.43% |
-12.34% |
-10.85% |
-12.26% |
-13.62% |
| Avg Days to Max Increase |
1 |
7 |
17 |
13 |
9 |
9 |
11 |
11 |
6 |
6 |
10 |
| 2010 Contract Condition |
|
|
|
Yes |
Yes |
|
|
|
Yes |
|
|
| Action |
|
|
|
Yes |
No |
|
|
|
Yes |
|
|
| High |
192.92 |
209.76 |
203.58 |
212.08 |
199.74 |
223.03 |
219.22 |
216.54 |
222.68 |
210.69 |
218.20 |
| Low |
167.34 |
196.85 |
173.52 |
194.38 |
183.02 |
187.30 |
201.46 |
195.52 |
191.98 |
184.50 |
201.78 |
| Close/Last |
192.92 |
201.41 |
202.91 |
195.90 |
194.67 |
208.89 |
212.85 |
213.19 |
192.67 |
204.88 |
217.90 |
|
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