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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Crude Oil(NYM) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 18 21 22 24 24 24 25 25 25 25 25
Closed Higher 5 8 10 13 13 18 16 13 12 18 15
Exceeded High 3 6 10 11 12 16 14 8 12 16 10
Scenario Percentage 60% 75% 100% 85% 92% 89% 88% 62% 100% 89% 67%
Avg Max Increase 7.19% 8.79% 9.96% 10.44% 10.35% 8.50% 7.76% 11.01% 10.97% 12.73% 9.55%
Max Increase 11.14% 15.18% 19.73% 23.95% 23.22% 20.61% 21.28% 19.08% 21.40% 59.28% 23.72%
Avg Days To Max Increase 20 12 16 16 17 17 16 21 15 12 12
Avg Max Decline -1.22% -0.79% -0.79% -1.53% -0.71% -3.23% -2.20% -2.53% -2.01% -1.60% -0.36%
Max Decline -1.78% -4.39% -4.41% -4.34% -5.04% -10.86% -7.80% -8.52% -10.10% -11.56% -4.69%
Avg Days to Max Decline 6 3 9 7 9 11 10 9 8 4 2
2007 Contract Condition   Yes     Yes Yes     Yes Yes  
Action   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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 18 21 22 24 24 24 25 25 25 25 25
Closed Lower 12 13 12 10 11 6 9 12 13 7 10
Penetrated Low 10 11 8 5 6 4 6 9 9 4 7
Scenario Percentage 83% 85% 67% 50% 55% 67% 67% 75% 69% 57% 70%
Avg Max Decline 9.15% 11.66% 13.89% 16.64% 8.43% 6.17% 6.25% 8.68% 8.18% 6.20% 18.60%
Max Decline 18.89% 24.11% 35.26% 40.71% 27.42% 9.20% 11.56% 15.23% 20.16% 10.69% 44.90%
Avg Days To Max Decline 18 19 18 22 12 10 22 14 16 7 15
Avg Max Increase -1.81% -0.79% -0.93% -1.24% -2.35% -2.34% -3.14% -1.72% -1.92% -1.91% -3.61%
Max Increase -4.02% -2.90% -6.24% -4.21% -8.35% -6.97% -8.32% -5.26% -7.44% -4.90% -11.44%
Avg Days to Max Increase 9 7 10 3 7 1 12 4 7 8 7
2007 Contract Condition Yes   Yes Yes     Yes Yes     Yes
Action No   Yes No     Yes No     Yes
High 68.17 68.87 69.44 63.41 66.22 69.76 70.08 69.81 71.40 77.65 78.15
Low 65.15 65.25 65.48 55.10 60.00 62.88 66.70 65.10 66.17 70.19 68.63
Close/Last 66.35 68.87 66.23 61.99 66.22 69.35 69.31 66.51 71.06 77.60 74.04

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