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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, 2009
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 Sep
Tested Years   21 21 24 25 25 26 26 26 26 26 26
Closed Higher   8 10 12 15 18 18 14 13 17 15 16
Exceeded High   6 10 9 14 16 16 10 13 15 13 13
Scenario Percentage   75% 100% 75% 93% 89% 89% 71% 100% 88% 87% 81%
Avg Max Increase   8.44% 9.35% 12.18% 10.43% 8.26% 8.42% 10.43% 10.15% 15.17% 12.61% 5.30%
Max Increase   14.39% 19.47% 24.33% 22.99% 19.59% 30.62% 19.30% 21.00% 85.48% 52.07% 11.46%
Avg Days To Max Increase   12 20 17 19 16 15 19 15 19 14 12
Avg Max Decline   -0.81% -1.63% -1.44% -0.98% -3.10% -2.19% -2.34% -1.86% -1.70% -3.11% -3.05%
Max Decline   -4.54% -7.26% -4.05% -4.42% -10.64% -6.56% -7.56% -8.17% -10.88% -14.66% -14.33%
Avg Days to Max Decline   3 11 7 9 10 11 8 9 8 8 4
2008 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 Sep
Tested Years   21 21 24 25 25 26 26 26 26 26 26
Closed Lower   13 11 11 10 6 8 12 13 8 11 10
Penetrated Low   10 8 5 6 3 5 9 9 5 6 7
Scenario Percentage   77% 73% 45% 60% 50% 63% 75% 69% 63% 55% 70%
Avg Max Decline   11.01% 13.62% 15.97% 8.13% 6.90% 5.70% 7.57% 7.82% 14.14% 15.83% 9.73%
Max Decline   23.85% 34.08% 39.90% 27.37% 8.72% 9.65% 14.13% 19.48% 27.64% 40.81% 31.87%
Avg Days To Max Decline   19 18 22 9 13 20 14 18 17 13 10
Avg Max Increase   -0.68% -0.80% -0.90% -0.83% -2.95% -3.27% -1.22% -1.67% -4.90% -4.96% -1.33%
Max Increase   -3.61% -6.02% -4.04% -2.24% -7.73% -7.78% -5.78% -6.74% -16.89% -20.38% -4.83%
Avg Days to Max Increase   9 10 3 4 8 15 3 6 15 12 2
2008 Contract Condition   Yes   Yes   Yes       Yes Yes Yes
Action   No   No   No       Yes Yes Yes
High 85.84 90.37 92.23 95.00 100.70 104.69 115.24 136.06 144.00 148.47 129.16 118.31
Low 74.14 84.26 85.07 84.80 86.37 96.27 98.15 107.60 122.40 121.60 111.98 90.42
Close/Last 85.84 85.20 91.44 90.34 99.70 98.79 110.24 127.10 141.24 124.95 115.85 100.64

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