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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years 22 23 24 24 25 25 25 25 25 25 25
Closed Higher 10 12 14 19 17 13 12 17 15 16 12
Exceeded High 9 10 13 16 15 7 12 15 12 14 4
Scenario Percentage 90% 83% 93% 84% 88% 54% 100% 88% 80% 88% 33%
Avg Max Increase 10.44% 10.98% 10.06% 8.77% 6.77% 11.52% 10.17% 14.07% 13.70% 7.15% 3.29%
Max Increase 19.00% 24.64% 21.78% 19.26% 19.34% 19.60% 21.06% 75.72% 50.17% 22.54% 4.33%
Avg Days To Max Increase 17 14 16 17 16 21 17 20 17 11 9
Avg Max Decline -1.24% -1.62% -0.76% -3.00% -2.36% -1.69% -1.68% -1.61% -2.40% -3.98% -1.12%
Max Decline -5.10% -4.39% -4.90% -10.42% -5.98% -6.66% -6.88% -10.31% -14.04% -14.87% -2.61%
Avg Days to Max Decline 9 7 8 7 11 7 8 8 8 5 2
2007 Contract Condition     Yes Yes Yes   Yes Yes   Yes Yes
Action     Yes No 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years 22 23 24 24 25 25 25 25 25 25 25
Closed Lower 12 11 10 5 8 12 13 7 10 9 13
Penetrated Low 8 5 5 3 5 8 9 5 5 8 11
Scenario Percentage 67% 45% 50% 60% 62% 67% 69% 71% 50% 89% 85%
Avg Max Decline 13.76% 15.77% 9.47% 6.73% 5.36% 7.82% 7.50% 7.86% 11.21% 9.64% 22.43%
Max Decline 32.91% 39.08% 27.46% 8.86% 8.21% 13.26% 18.88% 18.91% 21.09% 27.58% 63.95%
Avg Days To Max Decline 19 22 11 13 20 15 18 14 18 13 13
Avg Max Increase -1.13% -1.20% -1.32% -3.18% -3.08% -1.34% -1.63% -4.62% -4.74% -1.84% -4.37%
Max Increase -5.66% -4.01% -2.66% -7.36% -7.29% -5.62% -6.82% -16.88% -17.88% -6.16% -17.01%
Avg Days to Max Increase 10 3 5 8 9 3 6 16 19 4 6
2007 Contract Condition Yes Yes       Yes     Yes    
Action Yes No       No     No    
High 69.89 65.90 67.08 71.49 71.04 70.86 71.81 76.15 76.60 82.45 95.28
Low 65.71 54.97 60.64 63.61 67.16 66.14 67.25 70.82 68.21 72.01 77.71
Close/Last 66.79 62.65 66.89 69.71 70.11 67.57 71.44 76.05 72.46 80.48 94.53

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