|
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 |
|
|
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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