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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 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   23 25 27 27 27 27 28 28 28 28 29
Closed Higher   12 17 15 14 12 12 12 16 17 20 18
Exceeded High   12 15 12 13 8 10 12 15 15 19 12
Scenario Percentage   100% 88% 80% 93% 67% 83% 100% 94% 88% 95% 67%
Avg Max Increase   7.72% 8.99% 11.22% 7.08% 9.59% 13.17% 11.04% 12.27% 13.47% 10.87% 7.97%
Max Increase   19.13% 43.12% 30.49% 22.29% 16.58% 23.16% 24.05% 31.02% 29.08% 24.43% 28.94%
Avg Days To Max Increase   19 20 17 14 24 15 17 16 17 12 11
Avg Max Decline   -2.08% -1.45% -1.79% -2.50% -2.82% -1.91% -2.72% -3.15% -1.76% -3.18% -1.59%
Max Decline   -12.23% -8.47% -6.96% -11.29% -8.76% -8.80% -9.65% -11.76% -5.86% -10.69% -6.38%
Avg Days to Max Decline   8 10 9 5 11 4 12 9 7 7 2
2011 Contract Condition     Yes   Yes   Yes Yes Yes Yes Yes Yes
Action     Yes   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 Apr
Tested Years   23 25 27 27 27 27 28 28 28 28 29
Closed Lower   11 8 12 13 15 15 16 12 11 8 11
Penetrated Low   8 4 6 10 14 12 11 6 5 7 6
Scenario Percentage   73% 50% 50% 77% 93% 80% 69% 50% 45% 88% 55%
Avg Max Decline   4.80% 12.12% 15.23% 13.27% 11.94% 15.24% 15.63% 19.35% 11.29% 11.52% 6.96%
Max Decline   10.23% 26.05% 44.79% 47.55% 40.74% 29.48% 42.29% 44.01% 28.16% 21.58% 18.78%
Avg Days To Max Decline   15 19 19 19 20 18 17 15 11 13 12
Avg Max Increase   -0.44% -4.21% -2.10% -2.68% -3.11% -2.01% -4.01% -1.98% -4.58% -2.67% -2.34%
Max Increase   -2.43% -10.14% -11.15% -14.59% -7.31% -12.88% -12.23% -6.88% -11.53% -9.41% -6.80%
Avg Days to Max Increase   3 19 10 11 8 11 9 6 12 4 3
2011 Contract Condition   Yes   Yes   Yes            
Action   Yes   No   Yes            
High 94.74 84.92 83.23 86.55 84.47 87.80 90.47 94.20 97.36 105.55 108.80 114.18
Low 73.51 78.15 75.60 75.70 79.10 82.97 82.46 85.73 90.50 91.97 97.61 105.98
Close/Last 80.44 79.36 83.22 78.99 84.37 84.31 85.85 93.78 96.78 99.44 107.24 113.93

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