|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for July Gasoline(NYMEX) as of Feb 29, 2008 |
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 |
11 |
14 |
15 |
19 |
22 |
22 |
22 |
22 |
22 |
22 |
22 |
| Closed Higher |
7 |
6 |
7 |
9 |
12 |
16 |
10 |
18 |
16 |
11 |
11 |
| Exceeded High |
6 |
5 |
4 |
7 |
11 |
14 |
10 |
16 |
14 |
6 |
|
| Scenario Percentage |
86% |
83% |
57% |
78% |
92% |
88% |
100% |
89% |
88% |
55% |
0% |
| Avg Max Increase |
5.33% |
6.95% |
7.87% |
13.13% |
9.38% |
12.72% |
17.87% |
10.98% |
8.93% |
5.86% |
|
| Max Increase |
10.73% |
9.65% |
12.12% |
21.01% |
21.50% |
32.57% |
30.89% |
26.93% |
37.86% |
12.35% |
|
| Avg Days To Max Increase |
15 |
17 |
22 |
13 |
18 |
19 |
18 |
16 |
12 |
17 |
|
| Avg Max Decline |
-2.01% |
-1.39% |
-0.94% |
-0.10% |
-1.00% |
-4.09% |
-1.58% |
-3.46% |
-1.62% |
-2.71% |
|
| Max Decline |
-3.52% |
-6.49% |
-2.21% |
-3.19% |
-6.70% |
-14.62% |
-5.17% |
-13.26% |
-5.51% |
-6.34% |
|
| Avg Days to Max Decline |
14 |
4 |
10 |
3 |
10 |
11 |
8 |
5 |
7 |
9 |
|
| 2008 Contract Condition |
|
Yes |
Yes |
|
Yes |
|
Yes |
|
|
|
|
| Action |
|
Yes |
Yes |
|
Yes |
|
Not Yet |
|
|
|
|
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 |
11 |
14 |
15 |
19 |
22 |
22 |
22 |
22 |
22 |
22 |
22 |
| Closed Lower |
4 |
7 |
8 |
10 |
10 |
6 |
12 |
4 |
6 |
11 |
11 |
| Penetrated Low |
3 |
5 |
6 |
8 |
6 |
4 |
7 |
3 |
4 |
10 |
11 |
| Scenario Percentage |
75% |
71% |
75% |
80% |
60% |
67% |
58% |
75% |
67% |
91% |
100% |
| Avg Max Decline |
6.36% |
10.11% |
9.70% |
9.26% |
15.29% |
17.18% |
8.15% |
10.03% |
8.02% |
10.20% |
100.00% |
| Max Decline |
15.76% |
17.25% |
15.95% |
24.26% |
39.30% |
36.30% |
20.02% |
15.58% |
10.52% |
25.46% |
100.00% |
| Avg Days To Max Decline |
21 |
18 |
15 |
18 |
18 |
17 |
10 |
4 |
14 |
20 |
1 |
| Avg Max Increase |
-2.98% |
-0.26% |
-1.86% |
-0.79% |
-2.56% |
-0.00% |
-3.10% |
-1.22% |
-3.79% |
-1.56% |
100.00% |
| Max Increase |
-8.90% |
-2.07% |
-4.82% |
-5.67% |
-5.94% |
-1.10% |
-9.55% |
-4.65% |
-7.01% |
-5.48% |
100.00% |
| Avg Days to Max Increase |
9 |
10 |
5 |
12 |
10 |
8 |
14 |
1 |
12 |
4 |
1 |
| 2008 Contract Condition |
Yes |
|
|
Yes |
|
Yes |
|
|
|
|
|
| Action |
No |
|
|
Yes |
|
Not Yet |
|
|
|
|
|
| High |
214.42 |
223.38 |
247.46 |
259.05 |
263.20 |
269.34 |
273.64 |
|
|
|
|
| Low |
199.99 |
209.11 |
217.19 |
241.06 |
239.18 |
239.38 |
239.50 |
|
|
|
|
| Close/Last |
208.15 |
220.21 |
247.46 |
241.06 |
260.63 |
251.52 |
268.39 |
|
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