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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Crude Oil(NYM) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 19 21 23 23 23 23 24 24 24 24 25
Closed Higher 9 14 15 12 10 10 10 15 14 17 15
Exceeded High 9 12 12 11 7 8 10 14 12 16 10
Scenario Percentage 100% 86% 80% 92% 70% 80% 100% 93% 86% 94% 67%
Avg Max Increase 8.63% 10.01% 11.22% 5.69% 9.92% 14.22% 11.12% 12.26% 13.37% 11.30% 8.56%
Max Increase 19.13% 43.12% 30.49% 15.35% 16.58% 23.16% 24.05% 31.02% 29.08% 27.52% 28.94%
Avg Days To Max Increase 22 22 17 13 23 14 16 17 16 14 13
Avg Max Decline -1.15% -1.15% -1.79% -2.57% -2.61% -1.27% -1.95% -3.02% -1.57% -3.10% -1.35%
Max Decline -3.93% -3.41% -6.96% -11.29% -8.76% -3.32% -7.76% -11.76% -5.86% -10.69% -6.38%
Avg Days to Max Decline 9 11 9 4 8 3 9 8 8 6 2
2007 Contract Condition Yes Yes       Yes     Yes Yes  
Action Yes No       Yes     Yes Not Yet  
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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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 19 21 23 23 23 23 24 24 24 24 25
Closed Lower 10 7 8 11 13 13 14 9 10 7 10
Penetrated Low 7 3 4 9 12 10 9 4 5 7 8
Scenario Percentage 70% 43% 50% 82% 92% 77% 64% 44% 50% 100% 80%
Avg Max Decline 4.81% 7.48% 9.87% 9.46% 10.36% 15.13% 15.05% 23.19% 11.29% 11.65% 18.57%
Max Decline 10.23% 12.07% 17.33% 22.33% 22.50% 28.51% 42.29% 44.01% 28.16% 21.58% 51.23%
Avg Days To Max Decline 17 21 15 19 20 18 19 17 11 13 13
Avg Max Increase -0.63% -4.64% -3.19% -3.13% -2.53% -1.34% -2.95% -0.28% -4.58% -2.67% -5.45%
Max Increase -2.43% -10.14% -11.15% -14.59% -5.92% -4.48% -8.76% -1.14% -11.53% -9.41% -18.41%
Avg Days to Max Increase 4 25 11 12 8 10 9 7 12 4 9
2007 Contract Condition     Yes Yes Yes   Yes Yes     Yes
Action     Yes Yes Yes   Yes No     Yes
High 76.40 81.05 80.90 73.97 68.16 67.75 68.15 64.20 64.21 69.10 68.20
Low 71.65 76.40 73.70 64.40 63.42 63.05 63.49 52.73 58.33 60.22 62.63
Close/Last 76.32 78.42 74.99 67.83 64.85 67.41 64.54 60.14 63.97 67.47 65.71

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