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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   23 26 27 27 27 27 28 28 28 28 28
Closed Higher   8 14 20 18 15 13 19 15 16 13 12
Exceeded High   7 13 19 16 9 13 17 12 13 8 8
Scenario Percentage   88% 93% 95% 89% 60% 100% 89% 80% 81% 62% 67%
Avg Max Increase   12.19% 10.47% 8.48% 7.97% 11.71% 9.34% 12.06% 12.63% 8.54% 12.46% 11.66%
Max Increase   24.77% 19.42% 19.11% 31.57% 19.69% 20.90% 68.88% 46.36% 24.77% 34.22% 18.80%
Avg Days To Max Increase   14 16 17 15 21 17 18 17 13 16 15
Avg Max Decline   -1.35% -0.55% -2.55% -1.49% -1.21% -2.39% -1.19% -2.30% -3.72% -2.65% -1.13%
Max Decline   -4.10% -4.27% -9.96% -5.44% -5.66% -13.78% -9.55% -13.14% -13.15% -5.97% -2.53%
Avg Days to Max Decline   6 9 10 10 7 11 7 7 6 11 3
2010 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 Nov
Tested Years   23 26 27 27 27 27 28 28 28 28 28
Closed Lower   14 12 6 9 12 14 9 13 11 15 16
Penetrated Low   7 5 2 5 7 10 5 8 8 14 13
Scenario Percentage   50% 42% 33% 56% 58% 71% 56% 62% 73% 93% 81%
Avg Max Decline   13.54% 8.49% 7.15% 5.20% 7.92% 7.13% 12.82% 13.93% 16.27% 14.62% 11.65%
Max Decline   38.95% 24.21% 7.95% 8.93% 12.43% 18.49% 27.38% 47.12% 51.99% 52.69% 40.47%
Avg Days To Max Decline   19 19 20 20 15 18 17 19 18 15 13
Avg Max Increase   -1.71% -2.61% -0.59% -2.87% -0.46% -2.11% -4.55% -4.10% -1.85% -2.84% -1.77%
Max Increase   -5.46% -8.74% -1.45% -6.90% -2.69% -8.84% -15.61% -16.04% -7.95% -5.77% -7.11%
Avg Days to Max Increase   4 9 10 9 2 7 15 15 6 5 4
2010 Contract Condition   Yes Yes   Yes       Yes Yes   Yes
Action   Yes No   No       Yes No   Yes
High 65.67 64.55 56.92 62.84 62.67 69.69 76.74 74.66 77.43 74.39 82.58 81.67
Low 49.62 53.50 47.31 48.71 56.18 57.44 70.00 63.05 70.75 66.10 68.71 72.39
Close/Last 59.51 55.36 53.09 58.51 58.13 69.62 73.13 73.95 72.00 71.31 77.64 77.28

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