MRCI's ScenarioSM Study

ScenarioSM Study for February Crude Oil(NYM) as of Jan 01, 2010
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Tested Years	22	23	24	25	25	26	26	26	26	26	26
Closed Higher	13	16	17	14	12	18	15	15	12	11	13
Exceeded High	12	15	15	9	12	16	12	12	8	9	12
Scenario Percentage	92%	94%	88%	64%	100%	89%	80%	80%	67%	82%	92%
Avg Max Increase	10.16%	7.97%	8.23%	10.78%	9.19%	11.83%	11.89%	8.13%	13.13%	16.88%	9.18%
Max Increase	17.47%	17.48%	31.97%	19.87%	21.18%	63.08%	43.64%	24.44%	27.15%	28.47%	15.94%
Avg Days To Max Increase	15	17	16	20	18	21	15	13	23	12	12
Avg Max Decline	-0.30%	-2.52%	-1.71%	-0.82%	-1.19%	-1.38%	-2.10%	-3.03%	-2.76%	-2.13%	-1.36%
Max Decline	-4.22%	-9.77%	-5.06%	-5.01%	-4.91%	-9.12%	-11.67%	-12.01%	-7.14%	-8.61%	-6.17%
Avg Days to Max Decline	11	9	11	7	11	8	8	4	9	4	4
2009 Contract Condition	Yes		Yes	Yes	Yes
Action	Yes		Yes	Yes	Yes

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Condition 2: Lower Monthly Close. Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Tested Years	22	23	24	25	25	26	26	26	26	26	26
Closed Lower	9	6	7	11	13	8	10	11	14	15	13
Penetrated Low	4	4	4	8	9	4	7	8	13	12	10
Scenario Percentage	44%	67%	57%	73%	69%	50%	70%	73%	93%	80%	77%
Avg Max Decline	10.94%	4.32%	6.15%	7.02%	6.97%	14.41%	14.11%	15.58%	14.96%	16.00%	23.64%
Max Decline	27.66%	6.22%	9.41%	11.60%	18.10%	26.95%	46.60%	50.99%	49.25%	41.06%	50.11%
Avg Days To Max Decline	15	10	19	15	17	19	18	16	18	14	13
Avg Max Increase	-2.19%	-1.68%	-2.34%	-1.14%	-1.73%	-5.41%	-3.20%	-1.45%	-2.88%	-2.19%	-6.79%
Max Increase	-7.60%	-6.19%	-6.65%	-6.17%	-6.01%	-14.94%	-14.44%	-5.75%	-5.31%	-10.68%	-20.90%
Avg Days to Max Increase	8	5	9	3	4	19	12	6	6	10	7
2009 Contract Condition		Yes				Yes	Yes	Yes	Yes	Yes	Yes
Action		Yes				Yes	Yes	Yes	Yes	Yes	Yes
High	99.91	103.55	113.67	135.70	143.60	148.17	129.51	118.20	102.12	72.86	55.77
Low	86.06	96.57	95.99	108.15	122.85	122.70	112.97	91.69	62.45	49.40	35.13
Close/Last	99.08	97.54	108.81	126.50	141.61	125.51	116.94	100.80	69.22	55.82	44.60