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| MRCI's ScenarioSM Study |
| ScenarioSM Study for July Heating Oil(NYM) as of Jul 31, 2006 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
18 |
21 |
23 |
23 |
25 |
26 |
27 |
27 |
27 |
27 |
27 |
| Closed Higher |
14 |
14 |
14 |
10 |
11 |
11 |
12 |
11 |
19 |
20 |
15 |
| Exceeded High |
12 |
13 |
10 |
8 |
9 |
10 |
9 |
10 |
18 |
15 |
9 |
| Scenario Percentage |
86% |
93% |
71% |
80% |
82% |
91% |
75% |
91% |
95% |
75% |
60% |
| Avg Max Increase |
10.90% |
7.05% |
7.60% |
10.59% |
10.66% |
9.22% |
10.71% |
12.14% |
10.20% |
9.89% |
8.72% |
| Max Increase |
51.79% |
26.41% |
26.16% |
20.60% |
19.67% |
21.36% |
27.58% |
25.97% |
22.66% |
29.68% |
17.24% |
| Avg Days To Max Increase |
15 |
15 |
16 |
21 |
13 |
15 |
12 |
13 |
16 |
16 |
18 |
| Avg Max Decline |
-0.37% |
-0.73% |
-1.73% |
-1.97% |
-1.43% |
-1.39% |
-2.07% |
-0.94% |
-1.93% |
-2.86% |
-1.48% |
| Max Decline |
-3.23% |
-5.20% |
-8.40% |
-4.74% |
-8.27% |
-4.30% |
-5.78% |
-5.11% |
-6.55% |
-16.05% |
-7.53% |
| Avg Days to Max Decline |
9 |
9 |
4 |
10 |
6 |
12 |
6 |
6 |
5 |
9 |
7 |
| 2005 Contract Condition |
Yes |
|
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
|
Yes |
| Action |
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 |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
18 |
21 |
23 |
23 |
25 |
26 |
27 |
27 |
27 |
27 |
27 |
| Closed Lower |
4 |
7 |
9 |
13 |
14 |
14 |
15 |
16 |
8 |
7 |
12 |
| Penetrated Low |
3 |
4 |
7 |
12 |
11 |
12 |
11 |
12 |
7 |
6 |
11 |
| Scenario Percentage |
75% |
57% |
78% |
92% |
79% |
86% |
73% |
75% |
88% |
86% |
92% |
| Avg Max Decline |
5.62% |
5.06% |
8.43% |
11.78% |
13.81% |
12.83% |
12.14% |
6.47% |
7.85% |
6.26% |
11.85% |
| Max Decline |
9.61% |
15.18% |
18.46% |
21.91% |
29.86% |
38.04% |
35.18% |
20.99% |
12.60% |
9.83% |
56.01% |
| Avg Days To Max Decline |
21 |
18 |
15 |
17 |
20 |
20 |
15 |
13 |
14 |
13 |
15 |
| Avg Max Increase |
-4.23% |
-4.83% |
-1.79% |
-1.65% |
-1.81% |
-3.27% |
-2.04% |
-2.41% |
-2.84% |
-4.17% |
-2.14% |
| Max Increase |
-8.51% |
-11.01% |
-5.67% |
-4.58% |
-7.39% |
-9.10% |
-6.56% |
-11.47% |
-5.99% |
-8.06% |
-8.98% |
| Avg Days to Max Increase |
25 |
30 |
9 |
6 |
12 |
9 |
7 |
10 |
10 |
18 |
4 |
| 2005 Contract Condition |
|
Yes |
|
|
Yes |
Yes |
|
|
|
Yes |
|
| Action |
|
No |
|
|
Yes |
Yes |
|
|
|
Yes |
|
| High |
103.25 |
112.20 |
116.04 |
132.31 |
124.82 |
121.75 |
128.23 |
136.52 |
161.40 |
167.10 |
150.60 |
| Low |
93.43 |
101.00 |
102.69 |
115.60 |
116.50 |
108.07 |
108.00 |
119.20 |
136.30 |
142.50 |
134.30 |
| Close/Last |
102.73 |
101.35 |
115.86 |
127.41 |
123.58 |
112.51 |
126.51 |
136.52 |
160.36 |
143.84 |
144.95 |
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