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