MRCI's ScenarioSM Study

ScenarioSM Study for December Crude Oil(NYM) as of Dec 31, 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	Oct
Tested Years		25	26	27	27	28	28	28	28	28	28	28
Closed Higher		11	12	16	21	19	15	14	19	15	17	14
Exceeded High		10	10	15	18	17	9	14	17	12	15	6
Scenario Percentage		91%	83%	94%	86%	89%	60%	100%	89%	80%	88%	43%
Avg Max Increase		10.45%	10.98%	10.49%	9.45%	7.98%	12.03%	9.49%	13.00%	13.70%	7.68%	6.85%
Max Increase		19.00%	24.64%	21.78%	20.39%	31.94%	19.60%	21.06%	75.72%	50.17%	22.54%	14.57%
Avg Days To Max Increase		18	14	18	17	16	19	16	18	17	11	11
Avg Max Decline		-1.89%	-1.62%	-1.07%	-2.97%	-2.25%	-1.68%	-2.68%	-1.45%	-2.40%	-3.80%	-1.14%
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	8	8	10	6	9	7	8	6	2
2010 Contract Condition				Yes	Yes	Yes			Yes		Yes	Yes
Action				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	Oct
Tested Years		25	26	27	27	28	28	28	28	28	28	28
Closed Lower		14	14	11	6	9	13	14	8	13	11	14
Penetrated Low		10	7	5	3	5	8	10	6	7	9	10
Scenario Percentage		71%	50%	45%	50%	56%	62%	71%	75%	54%	82%	71%
Avg Max Decline		14.39%	14.22%	9.47%	6.73%	5.36%	7.82%	7.41%	11.16%	15.93%	14.33%	9.68%
Max Decline		32.91%	39.08%	27.46%	8.86%	8.21%	13.26%	18.88%	27.64%	47.30%	46.18%	20.42%
Avg Days To Max Decline		17	19	11	13	20	15	19	14	20	13	14
Avg Max Increase		-2.35%	-2.34%	-1.32%	-3.18%	-3.08%	-1.34%	-2.36%	-4.42%	-4.24%	-1.87%	-3.09%
Max Increase		-9.13%	-6.26%	-2.66%	-7.36%	-7.29%	-5.62%	-8.98%	-16.88%	-17.88%	-6.16%	-5.84%
Avg Days to Max Increase		9	4	5	8	9	3	9	13	16	4	4
2010 Contract Condition		Yes	Yes				Yes	Yes		Yes
Action		Yes	Yes				No	Yes		No
High	86.61	86.87	88.61	83.32	85.65	91.78	93.55	82.77	81.03	84.45	81.12	85.08
Low	80.85	78.39	77.05	73.73	80.75	85.02	71.50	74.48	73.15	72.35	74.82	79.84
Close/Last	85.46	84.13	77.53	82.16	85.51	91.67	78.24	77.49	80.51	75.10	80.95	81.43