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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August Crude Oil(NYM) as of Jan 01, 2009
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 Jun
Tested Years   19 21 23 24 24 24 25 25 26 26 26
Closed Higher   12 11 11 10 11 13 15 18 16 14 13
Exceeded High   11 9 7 8 10 11 14 15 14 11 12
Scenario Percentage   92% 82% 64% 80% 91% 85% 93% 83% 88% 79% 92%
Avg Max Increase   10.24% 7.49% 10.05% 12.62% 10.76% 13.05% 11.58% 10.09% 10.83% 11.27% 6.65%
Max Increase   28.65% 20.96% 14.74% 22.27% 21.37% 26.54% 27.22% 21.31% 28.31% 18.91% 12.17%
Avg Days To Max Increase   17 16 25 15 20 20 18 15 17 15 14
Avg Max Decline   -1.05% -1.48% -2.87% -0.91% -1.86% -3.26% -1.33% -3.61% -2.85% -3.56% -1.23%
Max Decline   -4.92% -7.41% -9.42% -3.89% -9.24% -10.57% -5.16% -11.02% -9.71% -10.55% -4.21%
Avg Days to Max Decline   10 5 20 3 10 10 10 9 8 9 4
2008 Contract Condition     Yes Yes   Yes   Yes   Yes Yes Yes
Action     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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   19 21 23 24 24 24 25 25 26 26 26
Closed Lower   7 10 12 14 13 11 10 7 10 12 13
Penetrated Low   3 9 11 11 9 5 6 4 7 9 8
Scenario Percentage   43% 90% 92% 79% 69% 45% 60% 57% 70% 75% 62%
Avg Max Decline   6.74% 8.46% 9.44% 12.73% 13.92% 18.63% 9.04% 8.01% 9.31% 11.25% 6.67%
Max Decline   13.79% 20.29% 20.42% 26.13% 38.92% 42.72% 28.07% 13.22% 21.18% 18.58% 16.28%
Avg Days To Max Decline   11 19 18 21 19 19 9 10 20 12 14
Avg Max Increase   -3.34% -2.78% -2.45% -1.66% -1.78% -1.31% -3.12% -2.59% -4.29% -1.66% -2.43%
Max Increase   -9.16% -14.20% -4.39% -11.92% -6.55% -4.92% -10.55% -7.75% -10.62% -4.03% -7.85%
Avg Days to Max Increase   10 10 10 12 9 4 11 1 12 5 3
2008 Contract Condition   Yes     Yes   Yes   Yes      
Action   No     Yes   No   No      
High 74.25 73.64 77.34 87.53 92.15 93.98 96.35 101.61 107.00 117.57 135.49 143.67
Low 71.64 67.85 70.36 74.41 85.77 85.62 84.33 86.15 97.33 98.20 108.95 122.05
Close/Last 73.40 70.16 76.18 87.53 86.09 92.92 90.89 100.37 100.08 111.97 127.50 140.00

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