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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, 2010
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 20 23 24 26 26 26 27 27 27 27 27
Closed Higher 6 8 11 13 14 19 17 15 14 18 15
Exceeded High 4 6 11 11 13 17 15 10 13 16 10
Scenario Percentage 67% 75% 100% 85% 93% 89% 88% 67% 93% 89% 67%
Avg Max Increase 7.20% 8.79% 9.93% 10.44% 10.72% 9.33% 9.28% 11.49% 10.52% 13.30% 10.34%
Max Increase 11.14% 15.18% 19.73% 23.95% 23.22% 22.54% 30.51% 19.08% 21.40% 64.94% 28.11%
Avg Days To Max Increase 22 12 17 16 18 17 17 19 15 13 14
Avg Max Decline -1.38% -0.79% -1.44% -1.53% -0.97% -3.34% -2.22% -2.46% -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 12 9 8 8 4 3
2009 Contract Condition           Yes   Yes Yes    
Action           Yes   Yes No    
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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 20 23 24 26 26 26 27 27 27 27 27
Closed Lower 13 15 13 12 12 7 10 12 13 9 12
Penetrated Low 11 13 9 6 6 4 6 9 9 5 9
Scenario Percentage 85% 87% 69% 50% 50% 57% 60% 75% 69% 56% 75%
Avg Max Decline 11.63% 11.97% 14.68% 16.48% 8.43% 6.17% 6.25% 8.68% 8.18% 10.42% 19.69%
Max Decline 36.38% 26.39% 35.26% 40.71% 27.42% 9.20% 11.56% 15.23% 20.16% 27.31% 44.90%
Avg Days To Max Decline 18 19 18 21 12 10 22 14 16 9 14
Avg Max Increase -2.17% -1.22% -1.65% -1.62% -2.35% -2.34% -3.14% -1.72% -1.92% -2.24% -3.96%
Max Increase -5.81% -11.57% -7.39% -4.21% -8.35% -6.97% -8.32% -5.26% -7.44% -4.90% -13.32%
Avg Days to Max Increase 9 9 10 4 7 1 12 4 7 7 6
2009 Contract Condition Yes Yes Yes Yes Yes   Yes     Yes Yes
Action Yes Yes Yes Yes No   No     Not Yet Yes
High 100.46 78.09 60.95 61.35 55.40 60.27 60.45 68.44 75.27 73.42 75.00
Low 67.39 58.03 46.95 51.11 45.13 46.50 53.00 55.52 67.85 60.43 67.42
Close/Last 73.80 63.78 57.13 53.52 51.24 55.85 55.43 68.20 71.60 71.15 69.96

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