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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, 2010
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 24 25 26 26 27 27 27 27 27 27 27
Closed Higher 11 12 15 20 18 15 14 18 15 16 13
Exceeded High 10 10 14 17 16 9 14 16 12 14 5
Scenario Percentage 91% 83% 93% 85% 89% 60% 100% 89% 80% 88% 38%
Avg Max Increase 10.45% 10.98% 10.40% 9.45% 8.35% 12.03% 9.49% 13.50% 13.70% 7.61% 6.56%
Max Increase 19.00% 24.64% 21.78% 20.39% 31.94% 19.60% 21.06% 75.72% 50.17% 22.54% 15.08%
Avg Days To Max Increase 18 14 17 18 17 19 16 19 17 11 12
Avg Max Decline -1.89% -1.62% -1.02% -3.11% -2.37% -1.68% -2.68% -1.54% -2.40% -3.98% -1.34%
Max Decline -7.77% -4.39% -4.90% -10.42% -5.98% -6.66% -14.44% -10.31% -14.04% -14.87% -2.61%
Avg Days to Max Decline 10 7 9 8 10 6 9 7 8 5 2
2009 Contract Condition       Yes   Yes Yes Yes     Yes
Action       Yes   Yes Yes Yes     Not Yet
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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 24 25 26 26 27 27 27 27 27 27 27
Closed Lower 13 13 11 6 9 12 13 8 12 11 14
Penetrated Low 9 6 5 3 5 8 9 6 7 9 12
Scenario Percentage 69% 46% 45% 50% 56% 67% 69% 75% 58% 82% 86%
Avg Max Decline 14.61% 15.78% 9.47% 6.73% 5.36% 7.82% 7.50% 11.16% 15.93% 14.67% 23.49%
Max Decline 32.91% 39.08% 27.46% 8.86% 8.21% 13.26% 18.88% 27.64% 47.30% 47.35% 63.95%
Avg Days To Max Decline 19 21 11 13 20 15 18 14 20 13 15
Avg Max Increase -2.02% -1.68% -1.32% -3.18% -3.08% -1.34% -1.63% -4.42% -4.24% -1.87% -5.12%
Max Increase -9.13% -4.11% -2.66% -7.36% -7.29% -5.62% -6.82% -16.88% -17.88% -6.16% -24.14%
Avg Days to Max Increase 9 4 5 8 9 3 6 13 16 4 6
2009 Contract Condition Yes Yes Yes   Yes       Yes Yes  
Action Yes Yes No   No       Yes Not Yet  
High 65.50 64.09 57.05 62.13 62.31 69.49 76.50 74.38 76.87 74.00 82.00
Low 48.20 52.49 46.14 48.00 54.92 56.51 69.35 62.21 69.87 65.55 68.32
Close/Last 58.73 54.80 52.52 57.72 57.33 69.20 72.71 73.20 71.38 70.94 77.00

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