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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 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   22 24 25 25 27 27 27 28 28 28 28
Closed Higher   11 11 10 11 14 15 20 18 14 15 19
Exceeded High   9 6 8 11 13 14 18 16 11 14 17
Scenario Percentage   82% 55% 80% 100% 93% 93% 90% 89% 79% 93% 89%
Avg Max Increase   7.27% 8.28% 9.74% 9.94% 11.03% 11.25% 9.76% 9.31% 11.11% 9.94% 8.76%
Max Increase   21.09% 14.18% 17.87% 20.30% 24.34% 25.29% 23.85% 29.55% 18.59% 16.41% 41.37%
Avg Days To Max Increase   14 26 12 19 19 18 15 15 20 10 12
Avg Max Decline   -1.07% -2.82% -1.73% -2.18% -2.82% -1.08% -3.27% -2.21% -3.10% -2.49% -0.83%
Max Decline   -5.19% -9.17% -7.94% -8.33% -10.21% -4.50% -11.27% -8.44% -9.48% -12.43% -3.77%
Avg Days to Max Decline   3 19 4 11 9 10 11 8 10 12 2
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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   22 24 25 25 27 27 27 28 28 28 28
Closed Lower   11 13 15 14 13 12 7 10 14 13 9
Penetrated Low   8 11 13 10 7 6 4 6 9 9 5
Scenario Percentage   73% 85% 87% 71% 54% 50% 57% 60% 64% 69% 56%
Avg Max Decline   13.33% 12.15% 12.44% 15.28% 15.68% 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 18 17 12 16 22 14 16 9
Avg Max Increase   -0.55% -2.70% -1.53% -2.48% -2.18% -2.74% -2.88% -3.65% -1.42% -2.31% -2.20%
Max Increase   -4.17% -5.65% -11.90% -9.95% -6.44% -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
2011 Contract Condition     Yes             Yes    
Action     Yes                  
High 86.98 85.35 88.36 90.93 94.35 98.92 106.00 109.30 115.03 115.60    
Low 76.88 80.74 83.85 83.56 87.35 91.94 94.50 99.72 106.91 111.82    
Close/Last 80.05 85.26 85.11 86.41 94.34 98.40 100.85 108.18 114.83 114.44    

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