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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years 20 20 23 24 24 25 25 25 25 25 25
Closed Higher 8 9 12 14 18 17 13 12 17 15 16
Exceeded High 6 9 9 13 16 15 9 12 15 13 13
Scenario Percentage 75% 100% 75% 93% 89% 88% 69% 100% 88% 87% 81%
Avg Max Increase 8.44% 9.28% 12.18% 10.11% 8.26% 6.94% 9.72% 10.56% 15.17% 12.80% 5.48%
Max Increase 14.39% 19.47% 24.33% 22.99% 19.59% 20.02% 19.30% 21.00% 85.48% 52.07% 11.46%
Avg Days To Max Increase 12 19 17 18 16 14 20 15 19 15 13
Avg Max Decline -0.81% -1.01% -1.44% -0.72% -3.10% -2.17% -2.19% -1.76% -1.70% -3.11% -3.05%
Max Decline -4.54% -4.63% -4.05% -4.42% -10.64% -6.56% -7.56% -8.17% -10.88% -14.66% -14.33%
Avg Days to Max Decline 3 9 7 9 10 12 8 9 8 8 4
2007 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years 20 20 23 24 24 25 25 25 25 25 25
Closed Lower 12 11 10 10 5 8 12 13 7 10 9
Penetrated Low 10 8 5 6 3 5 9 9 4 5 8
Scenario Percentage 83% 73% 50% 60% 60% 62% 75% 69% 57% 50% 89%
Avg Max Decline 11.01% 13.62% 15.97% 8.13% 6.90% 5.70% 7.57% 7.82% 10.76% 10.83% 25.46%
Max Decline 23.85% 34.08% 39.90% 27.37% 8.72% 9.65% 14.13% 19.48% 20.98% 20.88% 60.73%
Avg Days To Max Decline 19 18 22 9 13 20 14 18 17 12 9
Avg Max Increase -0.68% -0.80% -0.90% -0.83% -2.95% -3.27% -1.22% -1.67% -5.28% -5.52% -4.53%
Max Increase -3.61% -6.02% -4.04% -2.24% -7.73% -7.78% -5.78% -6.74% -16.89% -20.38% -19.97%
Avg Days to Max Increase 9 10 3 4 8 15 3 6 19 14 6
2007 Contract Condition   Yes Yes       Yes     Yes  
Action   Yes No       No     Not Yet  
High 69.12 69.68 63.72 66.58 69.93 70.70 70.27 71.45 76.90 77.30 83.76
Low 65.55 65.59 55.30 60.90 63.64 67.39 65.68 66.90 70.53 68.46 72.81
Close/Last 69.12 66.53 62.34 66.58 69.56 69.74 67.08 71.24 76.82 73.32 81.66

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