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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, 2010
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 22 22 25 26 26 27 27 27 27 27 27
Closed Higher 8 10 12 15 19 18 15 14 18 15 16
Exceeded High 6 10 9 14 17 16 11 14 16 13 13
Scenario Percentage 75% 100% 75% 93% 89% 89% 73% 100% 89% 87% 81%
Avg Max Increase 8.44% 9.35% 12.18% 10.43% 9.01% 8.42% 10.43% 9.79% 14.52% 12.61% 5.30%
Max Increase 14.39% 19.47% 24.33% 22.99% 21.11% 30.62% 19.30% 21.00% 85.48% 52.07% 11.46%
Avg Days To Max Increase 12 20 17 19 17 15 18 14 18 14 12
Avg Max Decline -0.81% -1.63% -1.44% -0.98% -3.19% -2.19% -2.11% -2.80% -1.62% -3.11% -3.05%
Max Decline -4.54% -7.26% -4.05% -4.42% -10.64% -6.56% -7.56% -14.99% -10.88% -14.66% -14.33%
Avg Days to Max Decline 3 11 7 9 11 11 7 9 7 8 4
2009 Contract Condition         Yes   Yes Yes Yes    
Action         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 22 22 25 26 26 27 27 27 27 27 27
Closed Lower 14 12 12 11 6 9 12 13 8 12 11
Penetrated Low 11 9 6 6 3 5 9 9 5 6 9
Scenario Percentage 79% 75% 50% 55% 50% 56% 75% 69% 62% 50% 82%
Avg Max Decline 12.36% 14.42% 15.86% 8.13% 6.90% 5.70% 7.57% 7.82% 14.14% 16.36% 26.52%
Max Decline 25.88% 34.08% 39.90% 27.37% 8.72% 9.65% 14.13% 19.48% 27.64% 40.81% 60.73%
Avg Days To Max Decline 20 18 21 9 13 20 14 18 17 12 8
Avg Max Increase -0.01% -1.73% -1.29% -0.83% -2.95% -3.27% -1.22% -1.67% -4.90% -2.25% -4.27%
Max Increase -3.61% -9.13% -4.04% -2.24% -7.73% -7.78% -5.78% -6.74% -16.89% -6.43% -19.97%
Avg Days to Max Increase 8 9 4 4 8 15 3 6 15 9 5
2009 Contract Condition Yes Yes Yes Yes   Yes       Yes Yes
Action Yes Yes Yes No   No       Yes Not Yet
High 79.10 60.28 63.22 55.92 61.22 61.07 68.78 75.83 73.91 75.89 73.58
Low 58.93 47.89 52.25 45.87 47.48 54.20 55.83 68.78 61.38 68.90 65.05
Close/Last 64.61 57.93 54.16 51.89 56.79 56.41 68.68 72.20 72.40 70.66 70.61

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