MRCI's ScenarioSM Study

ScenarioSM Study for August 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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years		21	23	25	26	26	26	27	27	28	28	28
Closed Higher		12	11	12	11	11	13	16	20	17	15	15
Exceeded High		11	9	7	9	10	11	15	17	15	12	12
Scenario Percentage		92%	82%	58%	82%	91%	85%	94%	85%	88%	80%	80%
Avg Max Increase		10.24%	7.49%	10.05%	11.59%	10.76%	13.05%	11.54%	10.83%	10.24%	11.17%	6.62%
Max Increase		28.65%	20.96%	14.74%	22.27%	21.37%	26.54%	27.22%	24.96%	28.31%	18.91%	12.17%
Avg Days To Max Increase		17	16	25	14	20	20	19	15	16	13	13
Avg Max Decline		-1.05%	-1.48%	-2.87%	-1.74%	-1.86%	-3.26%	-1.36%	-3.56%	-2.68%	-2.51%	-1.23%
Max Decline		-4.92%	-7.41%	-9.42%	-8.41%	-9.24%	-10.57%	-5.16%	-11.02%	-9.71%	-7.11%	-4.21%
Avg Days to Max Decline		10	5	20	4	10	10	9	10	8	7	4
2010 Contract Condition				Yes	Yes			Yes	Yes	Yes		Yes
Action				No	Yes			Yes	Yes	Yes		Not Yet

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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		21	23	25	26	26	26	27	27	28	28	28
Closed Lower		9	12	13	15	15	13	11	7	11	13	13
Penetrated Low		5	10	12	12	11	7	6	4	7	9	8
Scenario Percentage		56%	83%	92%	80%	73%	54%	55%	57%	64%	69%	62%
Avg Max Decline		13.97%	12.13%	11.83%	13.96%	14.50%	16.35%	9.04%	8.01%	9.31%	11.25%	6.67%
Max Decline		43.39%	45.17%	38.13%	27.48%	38.92%	42.72%	28.07%	13.22%	21.18%	18.58%	16.28%
Avg Days To Max Decline		17	19	19	21	17	17	9	10	20	12	14
Avg Max Increase		-1.86%	-2.24%	-2.70%	-1.16%	-2.70%	-2.41%	-3.12%	-2.59%	-4.29%	-1.66%	-2.43%
Max Increase		-9.16%	-14.20%	-5.43%	-11.92%	-9.25%	-6.44%	-10.55%	-7.75%	-10.62%	-4.03%	-7.85%
Avg Days to Max Increase		9	9	9	11	8	4	11	1	12	5	3
2010 Contract Condition		Yes	Yes			Yes	Yes				Yes
Action		Yes	No			Yes	Yes				Not Yet
High	77.62	80.57	77.10	84.95	84.73	84.67	86.20	82.17	84.84	89.88	91.38	79.94
Low	66.45	74.68	70.69	73.35	80.23	76.35	75.15	72.04	79.56	84.45	68.59	70.93
Close/Last	77.62	75.40	74.64	80.77	83.36	82.53	75.58	81.01	84.84	89.68	75.16	75.63