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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Crude Oil(NYM) as of Jan 01, 2009
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 Mar
Tested Years   21 22 23 24 24 24 25 25 25 25 25
Closed Higher   11 10 15 16 14 11 10 11 15 15 17
Exceeded High   8 10 13 14 12 8 8 11 14 13 14
Scenario Percentage   73% 100% 87% 88% 86% 73% 80% 100% 93% 87% 82%
Avg Max Increase   8.82% 8.29% 10.39% 10.09% 7.11% 10.20% 15.16% 11.65% 13.33% 15.81% 9.94%
Max Increase   19.67% 19.00% 47.75% 33.91% 22.30% 17.51% 24.18% 27.19% 32.58% 43.26% 25.31%
Avg Days To Max Increase   21 21 23 15 14 24 14 17 16 15 16
Avg Max Decline   -1.66% -0.73% -1.42% -1.52% -2.71% -2.92% -1.19% -2.90% -3.31% -1.98% -2.19%
Max Decline   -7.04% -3.57% -8.10% -7.53% -11.42% -9.01% -3.03% -10.12% -12.77% -6.76% -6.88%
Avg Days to Max Decline   9 6 11 7 4 13 3 11 10 7 4
2008 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 Mar
Tested Years   21 22 23 24 24 24 25 25 25 25 25
Closed Lower   10 12 8 8 10 13 15 14 10 10 8
Penetrated Low   7 9 3 4 8 12 12 9 4 5 4
Scenario Percentage   70% 75% 38% 50% 80% 92% 80% 64% 40% 50% 50%
Avg Max Decline   6.91% 5.97% 7.72% 9.44% 9.55% 10.87% 13.88% 15.81% 24.72% 11.70% 10.31%
Max Decline   10.52% 16.54% 12.13% 17.69% 23.43% 23.84% 31.02% 44.68% 45.53% 28.26% 19.87%
Avg Days To Max Decline   14 17 21 18 20 19 18 20 19 12 6
Avg Max Increase   -0.31% -1.22% -4.67% -2.69% -2.93% -2.68% -2.21% -3.09% -0.54% -4.89% -3.04%
Max Increase   -2.07% -6.60% -11.04% -11.54% -13.79% -7.53% -13.18% -9.68% -1.76% -11.53% -9.40%
Avg Days to Max Increase   2 5 25 12 16 9 11 12 7 11 2
2008 Contract Condition   Yes     Yes     Yes   Yes    
Action   No     No     Yes   No    
High 71.83 71.54 72.83 74.27 74.14 78.79 89.56 94.62 96.07 98.52 102.65 110.35
Low 69.01 68.02 69.16 72.12 67.95 70.53 75.34 86.67 85.40 85.07 86.33 98.33
Close/Last 71.24 69.16 72.22 73.94 70.58 77.37 89.56 87.05 94.65 91.52 101.42 101.58

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