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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 Jun 01, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month 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% 7.96% 10.31% 11.64% 7.79% 10.97% 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 21 16 14 24 16 17 13 13
Avg Max Decline -1.18% -0.87% -1.88% -1.06% -1.58% -2.57% -2.94% -2.31% -3.08% -3.95% -1.11%
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 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 9
Scenario Percentage 62% 64% 79% 44% 45% 70% 93% 80% 67% 50% 69%
Avg Max Decline 4.82% 7.10% 6.25% 12.81% 18.15% 15.47% 13.21% 14.55% 18.06% 20.23% 20.88%
Max Decline 10.16% 10.27% 18.10% 26.53% 45.37% 49.17% 43.57% 34.10% 48.16% 38.98% 50.68%
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% -2.17% -4.00% -2.44% -3.80%
Max Increase -6.17% -1.96% -8.81% -11.96% -12.63% -5.36% -8.69% -13.41% -12.44% -7.08% -11.58%
Avg Days to Max Increase 16 2 8 19 9 4 9 12 12 6 7
2011 Contract Condition   Yes Yes   Yes   Yes        
Action   No Yes   No   Yes        
High 92.57 93.98 83.55 82.43 85.70 83.80 87.04 90.00 93.45 94.89 103.41
Low 86.72 73.52 77.20 75.37 74.98 78.19 82.25 81.82 85.12 87.83 87.09
Close/Last 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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