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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 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years 24 25 26 27 27 27 28 28 28 28 28
Closed Higher 13 12 17 16 15 12 12 12 16 17 20
Exceeded High 10 12 15 14 13 8 10 12 15 15 16
Scenario Percentage 77% 100% 88% 88% 87% 67% 83% 100% 94% 88% 80%
Avg Max Increase 9.74% 7.78% 9.50% 10.08% 7.13% 10.14% 13.87% 11.72% 13.26% 14.17% 8.27%
Max Increase 19.67% 19.00% 47.75% 33.91% 22.30% 17.51% 24.18% 27.19% 32.58% 38.62% 19.70%
Avg Days To Max Increase 20 19 20 15 14 24 15 17 16 14 13
Avg Max Decline -1.39% -1.74% -1.03% -1.50% -2.62% -2.92% -1.66% -3.01% -3.47% -1.84% -1.69%
Max Decline -7.04% -11.71% -8.10% -7.53% -11.42% -9.01% -8.59% -10.12% -12.77% -6.76% -6.88%
Avg Days to Max Decline 8 7 10 7 5 13 3 12 11 7 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years 24 25 26 27 27 27 28 28 28 28 28
Closed Lower 11 13 9 11 12 15 16 16 12 11 8
Penetrated Low 7 10 4 6 9 14 13 11 6 5 7
Scenario Percentage 64% 77% 44% 55% 75% 93% 81% 69% 50% 45% 88%
Avg Max Decline 6.91% 5.83% 12.34% 15.00% 13.87% 12.47% 15.14% 16.34% 20.43% 11.70% 23.48%
Max Decline 10.52% 16.54% 26.20% 45.01% 48.41% 42.05% 31.02% 44.68% 45.53% 28.26% 41.46%
Avg Days To Max Decline 14 16 20 20 20 20 18 18 16 12 7
Avg Max Increase -0.31% -0.86% -3.74% -1.59% -2.31% -3.23% -1.78% -4.12% -2.20% -4.89% -5.55%
Max Increase -2.07% -6.60% -11.04% -11.54% -13.79% -7.53% -13.18% -12.22% -7.03% -11.53% -15.15%
Avg Days to Max Increase 2 5 19 11 15 9 10 11 6 11 11
2011 Contract Condition Yes Yes   Yes   Yes          
Action No Yes   No   Yes          
High 94.19 83.25 82.83 86.21 84.07 87.37 90.26 93.89 96.40 104.95 108.25
Low 73.29 78.34 75.46 75.91 79.15 82.75 82.22 86.45 89.40 90.27 97.02
Close/Last 80.15 79.06 82.83 78.57 84.05 83.99 85.63 93.41 95.82 98.64 106.72

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