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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 Dec 31, 2010
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 May
Tested Years   22 23 25 25 26 26 27 27 27 28 28
Closed Higher   16 13 12 12 11 11 14 16 19 17 15
Exceeded High   15 12 12 8 9 11 13 15 17 16 10
Scenario Percentage   94% 92% 100% 67% 82% 100% 93% 94% 89% 94% 67%
Avg Max Increase   8.24% 10.05% 6.38% 9.12% 12.29% 10.45% 12.14% 12.09% 10.59% 10.21% 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   17 15 14 22 13 17 18 18 14 11 14
Avg Max Decline   -1.09% -1.06% -2.72% -2.44% -1.99% -2.46% -2.99% -1.71% -3.44% -2.06% -1.70%
Max Decline   -7.82% -5.67% -12.09% -8.73% -8.47% -8.56% -11.08% -5.36% -11.47% -7.16% -4.51%
Avg Days to Max Decline   11 9 3 13 4 11 9 9 10 6 5
2010 Contract Condition   Yes     Yes Yes     Yes Yes Yes  
Action   Yes     No 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   22 23 25 25 26 26 27 27 27 28 28
Closed Lower   6 10 13 13 15 15 13 11 8 10 13
Penetrated Low   3 7 10 12 12 11 7 5 5 7 9
Scenario Percentage   50% 70% 77% 92% 80% 73% 54% 45% 63% 70% 69%
Avg Max Decline   14.64% 12.85% 12.42% 12.36% 14.59% 15.13% 17.21% 10.83% 9.60% 11.12% 9.31%
Max Decline   25.80% 44.30% 46.58% 39.56% 28.64% 40.73% 43.39% 27.71% 16.29% 28.63% 24.87%
Avg Days To Max Decline   23 15 19 19 20 18 17 11 10 16 15
Avg Max Increase   -3.46% -1.70% -2.43% -2.53% -1.91% -3.73% -2.42% -4.25% -2.68% -4.42% -1.88%
Max Increase   -9.32% -10.57% -13.94% -5.19% -12.54% -11.80% -6.85% -11.25% -9.27% -10.98% -4.16%
Avg Days to Max Increase   17 10 11 10 10 9 4 12 2 8 5
2010 Contract Condition     Yes Yes     Yes Yes       Yes
Action     Yes No     Yes Yes       Not Yet
High 79.08 77.70 80.80 76.87 85.24 84.50 84.32 86.41 81.86 84.65 88.57 89.77
Low 72.72 66.11 74.31 70.06 71.85 79.03 75.83 74.64 71.65 79.24 83.60 67.15
Close/Last 75.14 77.47 75.09 74.33 80.46 82.85 82.10 75.08 80.71 84.57 88.36 73.97

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