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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Crude Oil(NYM) as of Jan 01, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 21 22 24 24 25 25 26 26 26 27 27
Closed Higher 15 13 12 11 10 11 14 15 18 16 15
Exceeded High 14 12 12 8 8 11 13 14 16 15 10
Scenario Percentage 93% 92% 100% 73% 80% 100% 93% 93% 89% 94% 67%
Avg Max Increase 8.52% 10.05% 6.38% 9.12% 13.29% 10.45% 12.14% 12.26% 10.87% 10.78% 9.74%
Max Increase 38.98% 29.27% 21.25% 15.58% 22.63% 22.30% 28.77% 28.56% 26.09% 26.92% 15.13%
Avg Days To Max Increase 18 15 14 22 14 17 18 17 15 12 14
Avg Max Decline -1.25% -1.06% -2.72% -2.44% -1.18% -2.46% -2.99% -1.70% -3.58% -2.18% -1.70%
Max Decline -7.82% -5.67% -12.09% -8.73% -3.60% -8.56% -11.08% -5.36% -11.47% -7.16% -4.51%
Avg Days to Max Decline 11 9 3 13 3 11 9 9 10 6 5
2009 Contract Condition                 Yes   Yes
Action                 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 21 22 24 24 25 25 26 26 26 27 27
Closed Lower 6 9 12 13 15 14 12 11 8 10 12
Penetrated Low 3 6 10 12 12 10 6 5 5 7 11
Scenario Percentage 50% 67% 83% 92% 80% 71% 50% 45% 62% 70% 92%
Avg Max Decline 14.64% 13.88% 12.42% 12.36% 14.59% 15.37% 19.32% 10.83% 9.60% 11.12% 17.89%
Max Decline 25.80% 44.30% 46.58% 39.56% 28.64% 40.73% 43.39% 27.71% 16.29% 28.62% 52.39%
Avg Days To Max Decline 23 14 19 19 20 19 19 11 10 16 13
Avg Max Increase -3.46% -1.59% -2.43% -2.53% -1.91% -3.58% -1.69% -4.25% -2.68% -4.42% -3.45%
Max Increase -9.32% -10.57% -13.94% -5.19% -12.54% -11.80% -5.35% -11.25% -9.27% -10.98% -12.35%
Avg Days to Max Increase 17 9 11 10 10 9 4 12 2 8 7
2009 Contract Condition Yes Yes Yes Yes Yes Yes Yes Yes   Yes  
Action Yes Yes Yes Yes Yes Yes Yes No   Not Yet  
High 147.40 126.15 113.84 99.62 76.00 60.24 60.72 53.21 57.29 57.50 66.64
Low 123.81 114.00 92.67 65.44 54.63 43.67 48.25 42.19 44.34 49.07 51.55
Close/Last 124.90 117.48 102.27 72.25 61.20 54.31 51.17 48.98 52.85 52.28 66.31

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