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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years 23 24 24 25 25 25 26 26 26 26 26
Closed Higher 16 17 13 12 17 16 16 12 11 13 16
Exceeded High 15 15 8 12 14 13 14 8 9 13 8
Scenario Percentage 94% 88% 62% 100% 82% 81% 88% 67% 82% 100% 50%
Avg Max Increase 7.85% 7.07% 10.28% 8.65% 12.25% 12.42% 7.67% 12.10% 16.22% 10.39% 7.56%
Max Increase 17.96% 30.64% 20.21% 19.96% 57.94% 40.70% 23.66% 22.62% 28.40% 22.83% 11.76%
Avg Days To Max Increase 17 16 20 20 23 15 14 24 15 12 11
Avg Max Decline -2.46% -2.02% -1.07% -1.10% -1.60% -1.87% -2.59% -3.11% -2.05% -2.19% -0.99%
Max Decline -9.61% -5.03% -4.51% -4.19% -8.90% -10.27% -12.15% -7.76% -7.84% -10.82% -2.86%
Avg Days to Max Decline 9 10 8 10 9 10 4 12 3 8 2
2009 Contract Condition   Yes Yes Yes              
Action   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years 23 24 24 25 25 25 26 26 26 26 26
Closed Lower 6 7 11 13 8 9 10 14 15 13 10
Penetrated Low 3 5 7 9 4 6 8 13 12 9 8
Scenario Percentage 50% 71% 64% 69% 50% 67% 80% 93% 80% 69% 80%
Avg Max Decline 5.06% 4.95% 7.33% 6.75% 13.46% 15.05% 14.95% 14.10% 15.22% 18.12% 21.22%
Max Decline 5.63% 9.86% 11.14% 17.71% 26.84% 46.42% 50.06% 45.65% 36.34% 43.46% 30.22%
Avg Days To Max Decline 6 20 13 16 19 21 16 18 17 16 14
Avg Max Increase -1.87% -2.64% -0.32% -1.33% -4.67% -2.67% -1.32% -2.64% -1.72% -4.71% -4.00%
Max Increase -6.17% -6.41% -1.91% -5.99% -12.86% -13.48% -5.76% -5.18% -8.32% -12.69% -9.10%
Avg Days to Max Increase 1 10 2 3 19 13 6 6 10 12 9
2009 Contract Condition Yes       Yes Yes Yes Yes Yes Yes Yes
Action No       Yes Yes Yes Yes Yes Yes Yes
High 103.15 113.18 135.41 141.60 148.35 127.94 115.30 102.30 73.54 56.66 54.74
Low 95.20 96.65 107.76 122.78 122.70 113.01 91.80 62.76 50.49 38.00 39.11
Close/Last 97.18 108.39 126.29 141.60 125.48 117.13 101.10 69.92 57.09 48.59 41.68

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