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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   20 22 23 23 25 25 25 26 26 26 26
Closed Higher   11 10 9 11 14 14 18 17 13 13 18
Exceeded High   9 6 7 11 13 13 16 15 10 13 16
Scenario Percentage   82% 60% 78% 100% 93% 93% 89% 88% 77% 100% 89%
Avg Max Increase   7.27% 8.28% 10.54% 9.94% 11.03% 11.24% 8.96% 9.80% 11.19% 9.84% 8.62%
Max Increase   21.09% 14.18% 17.87% 20.30% 24.34% 25.29% 20.95% 29.55% 18.59% 16.41% 40.41%
Avg Days To Max Increase   14 26 12 19 19 17 15 16 21 9 10
Avg Max Decline   -1.07% -2.82% -0.85% -2.18% -2.82% -1.03% -3.32% -2.35% -3.28% -2.20% -0.80%
Max Decline   -5.19% -9.17% -4.14% -8.33% -10.21% -4.50% -11.27% -8.44% -9.48% -12.43% -3.77%
Avg Days to Max Decline   3 19 3 11 9 10 10 8 11 13 1
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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   20 22 23 23 25 25 25 26 26 26 26
Closed Lower   9 12 14 12 11 11 7 9 13 13 8
Penetrated Low   7 10 12 8 5 6 4 6 9 9 5
Scenario Percentage   78% 83% 86% 67% 45% 55% 57% 67% 69% 69% 63%
Avg Max Decline   8.86% 9.64% 11.23% 14.85% 17.76% 8.72% 6.81% 6.75% 10.57% 8.37% 6.37%
Max Decline   18.10% 19.55% 25.01% 37.89% 41.53% 27.40% 10.50% 13.57% 18.42% 20.16% 11.61%
Avg Days To Max Decline   21 18 19 19 19 12 16 22 14 16 9
Avg Max Increase   -1.00% -2.40% -1.81% -1.20% -0.97% -2.74% -2.88% -3.65% -1.42% -2.31% -2.20%
Max Increase   -4.17% -4.64% -11.90% -5.94% -4.37% -10.12% -8.52% -9.34% -3.66% -7.70% -4.10%
Avg Days to Max Increase   12 10 7 11 3 7 1 12 5 7 2
2008 Contract Condition       Yes   Yes   Yes       Yes
Action       Yes   No   No       Yes
High 73.52 77.13 86.93 91.85 93.55 96.00 101.06 106.07 117.00 135.79 144.22 147.90
Low 67.80 70.23 74.47 85.24 84.83 84.70 86.44 96.72 97.93 108.40 122.27 120.42
Close/Last 70.05 75.85 86.93 85.79 92.40 90.69 100.14 99.64 111.32 127.42 140.58 124.08

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