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| MRCI's ScenarioSM Study |
| ScenarioSM Study for August 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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
18 |
21 |
21 |
22 |
23 |
24 |
25 |
27 |
27 |
27 |
27 |
| Closed Higher |
12 |
10 |
10 |
8 |
11 |
11 |
10 |
19 |
19 |
15 |
13 |
| Exceeded High |
10 |
8 |
6 |
6 |
10 |
8 |
9 |
18 |
14 |
10 |
11 |
| Scenario Percentage |
83% |
80% |
60% |
75% |
91% |
73% |
90% |
95% |
74% |
67% |
85% |
| Avg Max Increase |
7.63% |
5.84% |
11.03% |
11.46% |
8.54% |
11.21% |
12.87% |
9.83% |
10.13% |
10.41% |
6.19% |
| Max Increase |
25.68% |
14.16% |
19.33% |
16.91% |
19.50% |
28.10% |
23.37% |
21.02% |
30.49% |
23.24% |
12.36% |
| Avg Days To Max Increase |
14 |
14 |
27 |
14 |
15 |
11 |
13 |
17 |
17 |
16 |
15 |
| Avg Max Decline |
-1.28% |
-2.01% |
-2.53% |
-0.94% |
-1.35% |
-1.88% |
-0.86% |
-2.22% |
-2.86% |
-2.93% |
-1.61% |
| Max Decline |
-4.78% |
-8.34% |
-4.20% |
-2.31% |
-3.99% |
-5.30% |
-4.67% |
-9.65% |
-15.01% |
-7.23% |
-3.73% |
| Avg Days to Max Decline |
10 |
3 |
13 |
6 |
9 |
4 |
8 |
6 |
9 |
10 |
4 |
| 2005 Contract Condition |
|
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
| Action |
|
Yes |
No |
|
|
Yes |
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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
18 |
21 |
21 |
22 |
23 |
24 |
25 |
27 |
27 |
27 |
27 |
| Closed Lower |
6 |
11 |
11 |
14 |
12 |
13 |
15 |
8 |
8 |
12 |
14 |
| Penetrated Low |
4 |
9 |
10 |
10 |
9 |
10 |
10 |
7 |
7 |
10 |
12 |
| Scenario Percentage |
67% |
82% |
91% |
71% |
75% |
77% |
67% |
88% |
88% |
83% |
86% |
| Avg Max Decline |
5.08% |
7.96% |
10.22% |
12.91% |
13.84% |
12.32% |
7.09% |
7.33% |
6.73% |
8.06% |
10.17% |
| Max Decline |
14.99% |
17.73% |
22.03% |
26.57% |
36.41% |
35.98% |
20.69% |
11.26% |
9.68% |
16.02% |
31.18% |
| Avg Days To Max Decline |
17 |
18 |
18 |
21 |
21 |
15 |
13 |
14 |
14 |
13 |
15 |
| Avg Max Increase |
-4.19% |
-1.48% |
-1.67% |
-1.19% |
-3.62% |
-1.08% |
-2.07% |
-2.62% |
-4.40% |
-1.73% |
-3.72% |
| Max Increase |
-10.49% |
-5.00% |
-3.82% |
-6.30% |
-7.83% |
-4.68% |
-10.29% |
-5.92% |
-7.91% |
-8.30% |
-20.32% |
| Avg Days to Max Increase |
20 |
11 |
7 |
9 |
8 |
3 |
11 |
14 |
19 |
8 |
8 |
| 2005 Contract Condition |
Yes |
|
|
Yes |
Yes |
|
|
|
Yes |
|
|
| Action |
No |
|
|
Yes |
No |
|
|
|
Yes |
|
|
| High |
111.80 |
115.84 |
132.10 |
125.20 |
122.00 |
128.33 |
136.82 |
162.25 |
168.80 |
151.00 |
170.20 |
| Low |
101.25 |
102.74 |
115.25 |
116.50 |
108.32 |
109.30 |
119.95 |
135.75 |
145.04 |
136.00 |
147.40 |
| Close/Last |
101.55 |
115.71 |
127.46 |
123.48 |
112.81 |
126.66 |
136.82 |
160.81 |
145.04 |
145.90 |
163.61 |
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