MRCI's ScenarioSM Study

ScenarioSM Study for October 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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		19	22	23	25	25	25	26	26	26	26	26
Closed Higher		6	8	11	13	14	18	17	14	13	18	15
Exceeded High		4	6	11	11	13	16	15	9	13	16	10
Scenario Percentage		67%	75%	100%	85%	93%	89%	88%	64%	100%	89%	67%
Avg Max Increase		7.20%	8.79%	9.93%	10.44%	10.72%	8.50%	9.28%	11.61%	10.52%	13.30%	10.34%
Max Increase		11.14%	15.18%	19.73%	23.95%	23.22%	20.61%	30.51%	19.08%	21.40%	64.94%	28.11%
Avg Days To Max Increase		22	12	17	16	18	17	17	20	15	13	14
Avg Max Decline		-1.38%	-0.79%	-1.44%	-1.53%	-0.97%	-3.23%	-2.22%	-2.68%	-2.10%	-1.60%	-0.64%
Max Decline		-1.88%	-4.39%	-7.95%	-4.34%	-5.04%	-10.86%	-7.80%	-8.52%	-10.10%	-11.56%	-4.69%
Avg Days to Max Decline		8	3	11	7	10	11	9	8	8	4	3
2008 Contract Condition		Yes		Yes		Yes		Yes	Yes	Yes
Action		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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		19	22	23	25	25	25	26	26	26	26	26
Closed Lower		12	14	12	11	11	7	9	12	13	8	11
Penetrated Low		10	12	8	5	6	4	6	9	9	5	5
Scenario Percentage		83%	86%	67%	45%	55%	57%	67%	75%	69%	63%	45%
Avg Max Decline		9.15%	10.77%	13.89%	16.64%	8.43%	6.17%	6.25%	8.68%	8.18%	10.42%	10.53%
Max Decline		18.89%	24.11%	35.26%	40.71%	27.42%	9.20%	11.56%	15.23%	20.16%	27.31%	21.61%
Avg Days To Max Decline		18	19	18	22	12	10	22	14	16	9	14
Avg Max Increase		-1.81%	-1.69%	-0.93%	-1.24%	-2.35%	-2.34%	-3.14%	-1.72%	-1.92%	-2.24%	-1.17%
Max Increase		-4.02%	-11.57%	-6.24%	-4.21%	-8.35%	-6.97%	-8.32%	-5.26%	-7.44%	-4.90%	-2.72%
Avg Days to Max Increase		9	9	10	3	7	1	12	4	7	7	2
2008 Contract Condition			Yes		Yes		Yes				Yes	Yes
Action			Yes		No		No				Yes	Yes
High	76.89	86.36	90.94	92.60	95.38	100.80	105.20	116.06	135.77	144.55	148.13	128.95
Low	70.13	74.05	84.74	85.60	84.60	86.44	96.67	97.48	108.00	122.32	120.90	111.50
Close/Last	75.54	86.36	85.49	91.91	90.51	99.92	99.21	110.76	127.27	140.95	124.51	115.46