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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 Apr 30, 2011
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
2011 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   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
2011 Contract Condition   Yes   Yes             Yes  
Action   No   Yes                
High 83.81 86.90 85.00 87.65 90.63 94.28 98.18 105.49 109.18 114.92 115.52  
Low 76.66 76.56 80.95 83.63 83.43 86.23 91.78 93.92 98.51 106.75 111.67  
Close/Last 83.81 79.73 84.97 84.86 86.23 94.23 98.05 100.54 107.99 114.71 114.32  

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