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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April Crude Oil(NYM) as of Dec 30, 2011
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 Feb
Tested Years   25 26 27 27 27 27 27 28 28 28 28
Closed Higher   17 14 13 18 16 15 12 13 13 16 15
Exceeded High   15 9 13 15 13 13 8 11 13 14 12
Scenario Percentage   88% 64% 100% 83% 81% 87% 67% 85% 100% 88% 80%
Avg Max Increase   6.95% 9.99% 7.97% 10.33% 11.64% 7.79% 11.03% 13.53% 12.57% 13.06% 10.84%
Max Increase   30.99% 20.17% 19.95% 52.11% 37.03% 23.10% 19.04% 26.67% 35.74% 27.99% 32.71%
Avg Days To Max Increase   14 17 19 20 16 14 24 16 17 13 13
Avg Max Decline   -1.18% -0.87% -1.88% -1.06% -1.59% -2.60% -2.94% -2.32% -3.16% -3.98% -1.27%
Max Decline   -4.57% -4.14% -12.26% -8.61% -8.69% -12.12% -8.10% -8.69% -10.65% -13.62% -3.63%
Avg Days to Max Decline   7 8 9 10 9 5 13 4 13 8 2
2011 Contract Condition   Yes     Yes   Yes   Yes Yes Yes Yes
Action   Yes     Yes   Yes   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   25 26 27 27 27 27 27 28 28 28 28
Closed Lower   8 11 14 9 11 10 15 15 15 12 13
Penetrated Low   5 7 11 4 5 7 14 12 10 6 7
Scenario Percentage   63% 64% 79% 44% 45% 70% 93% 80% 67% 50% 54%
Avg Max Decline   4.82% 7.10% 6.25% 12.81% 18.15% 15.47% 13.21% 14.59% 18.06% 20.23% 8.15%
Max Decline   10.16% 10.27% 18.10% 26.53% 45.37% 49.17% 43.57% 34.10% 48.16% 38.98% 17.10%
Avg Days To Max Decline   19 14 19 20 22 16 20 18 18 13 12
Avg Max Increase   -2.44% -0.23% -1.94% -4.14% -2.06% -1.04% -3.33% -2.19% -4.00% -2.44% -2.13%
Max Increase   -6.17% -1.96% -8.81% -11.96% -12.63% -5.36% -8.69% -13.41% -12.44% -7.08% -6.43%
Avg Days to Max Increase   16 2 8 19 9 4 9 12 12 6 3
2011 Contract Condition     Yes Yes   Yes   Yes        
Action     No Yes   No   Yes        
High 85.90 92.57 93.98 83.55 82.43 85.70 83.80 87.04 90.00 93.45 94.89 103.41
Low 82.04 86.72 73.52 77.20 75.37 74.98 78.19 82.25 81.82 85.12 87.83 87.09
Close/Last 85.90 92.55 79.83 78.76 82.43 78.14 83.69 83.61 85.38 92.91 94.28 96.97

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