|
MRCI's ScenarioSM Study |
ScenarioSM Study for September Crude Oil(NYM) as of May 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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Tested Years |
|
21 |
23 |
24 |
24 |
26 |
26 |
26 |
27 |
27 |
27 |
27 |
Closed Higher |
|
11 |
10 |
9 |
11 |
14 |
14 |
19 |
17 |
14 |
14 |
18 |
Exceeded High |
|
9 |
6 |
7 |
11 |
13 |
13 |
17 |
15 |
11 |
13 |
16 |
Scenario Percentage |
|
82% |
60% |
78% |
100% |
93% |
93% |
89% |
88% |
79% |
93% |
89% |
Avg Max Increase |
|
7.27% |
8.28% |
10.54% |
9.94% |
11.03% |
11.24% |
9.84% |
9.80% |
11.11% |
9.84% |
8.62% |
Max Increase |
|
21.09% |
14.18% |
17.87% |
20.30% |
24.34% |
25.29% |
23.85% |
29.55% |
18.59% |
16.41% |
40.41% |
Avg Days To Max Increase |
|
14 |
26 |
12 |
19 |
19 |
17 |
15 |
16 |
20 |
9 |
10 |
Avg Max Decline |
|
-1.07% |
-2.82% |
-0.85% |
-2.18% |
-2.82% |
-1.03% |
-3.44% |
-2.35% |
-3.10% |
-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 |
11 |
8 |
10 |
13 |
1 |
2010 Contract Condition |
|
|
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
|
|
|
Action |
|
|
No |
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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Tested Years |
|
21 |
23 |
24 |
24 |
26 |
26 |
26 |
27 |
27 |
27 |
27 |
Closed Lower |
|
10 |
13 |
15 |
13 |
12 |
12 |
7 |
10 |
13 |
13 |
9 |
Penetrated Low |
|
8 |
11 |
13 |
9 |
6 |
6 |
4 |
6 |
9 |
9 |
5 |
Scenario Percentage |
|
80% |
85% |
87% |
69% |
50% |
50% |
57% |
60% |
69% |
69% |
56% |
Avg Max Decline |
|
13.33% |
12.15% |
12.44% |
15.57% |
17.50% |
8.72% |
6.81% |
6.75% |
10.57% |
8.37% |
6.37% |
Max Decline |
|
44.61% |
37.24% |
26.93% |
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 |
|
-0.55% |
-2.70% |
-1.53% |
-2.17% |
-1.47% |
-2.74% |
-2.88% |
-3.65% |
-1.42% |
-2.31% |
-2.20% |
Max Increase |
|
-4.17% |
-5.65% |
-11.90% |
-9.95% |
-4.37% |
-10.12% |
-8.52% |
-9.34% |
-3.66% |
-7.70% |
-4.10% |
Avg Days to Max Increase |
|
11 |
9 |
7 |
10 |
4 |
7 |
1 |
12 |
5 |
7 |
2 |
2010 Contract Condition |
|
Yes |
|
|
Yes |
Yes |
|
|
|
Yes |
Yes |
|
Action |
|
No |
|
|
Yes |
Yes |
|
|
|
Not Yet |
|
|
High |
80.76 |
77.38 |
85.49 |
84.86 |
85.15 |
87.30 |
82.41 |
85.04 |
90.51 |
92.18 |
77.54 |
|
Low |
75.14 |
70.86 |
72.81 |
80.14 |
77.20 |
75.81 |
72.43 |
79.86 |
84.66 |
69.62 |
73.80 |
|
Close/Last |
75.72 |
74.96 |
81.10 |
83.86 |
82.92 |
76.05 |
81.29 |
85.03 |
90.41 |
76.12 |
74.90 |
|
|
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