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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Crude Oil(NYM) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   25 27 28 28 30 30 30 31 31 31 31
Closed Higher   12 12 13 13 17 17 22 20 14 16 21
Exceeded High   10 7 11 13 16 16 20 17 11 15 18
Scenario Percentage   83% 58% 85% 100% 94% 94% 91% 85% 79% 94% 86%
Avg Max Increase   7.20% 8.51% 9.51% 9.85% 10.38% 10.89% 9.14% 8.80% 11.11% 9.99% 8.46%
Max Increase   21.09% 14.18% 17.87% 20.30% 24.34% 25.29% 23.85% 29.55% 18.59% 16.41% 40.41%
Avg Days To Max Increase   14 23 15 18 17 17 13 15 20 9 10
Avg Max Decline   -1.13% -2.95% -1.99% -2.09% -2.81% -1.01% -3.05% -2.24% -3.10% -2.35% -0.79%
Max Decline   -5.19% -9.17% -7.94% -8.33% -10.21% -4.50% -11.27% -8.44% -9.48% -12.43% -3.77%
Avg Days to Max Decline   5 16 6 10 9 9 10 7 10 12 1
2013 Contract Condition       Yes Yes Yes   Yes     Yes Yes
Action       Yes 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   25 27 28 28 30 30 30 31 31 31 31
Closed Lower   13 15 15 15 13 13 8 11 17 15 10
Penetrated Low   10 12 13 10 7 7 5 6 11 10 6
Scenario Percentage   77% 80% 87% 67% 54% 54% 63% 55% 65% 67% 60%
Avg Max Decline   11.72% 11.29% 12.44% 15.28% 15.68% 8.54% 8.92% 6.75% 10.82% 9.64% 8.79%
Max Decline   44.61% 37.24% 26.93% 37.89% 41.53% 27.40% 17.35% 13.57% 18.42% 21.10% 20.89%
Avg Days To Max Decline   19 19 19 18 17 12 19 22 16 15 9
Avg Max Increase   -0.52% -3.04% -1.53% -2.48% -2.18% -3.04% -2.78% -3.65% -1.25% -2.57% -2.33%
Max Increase   -4.17% -6.84% -11.90% -9.95% -6.44% -10.12% -8.52% -9.34% -3.66% -7.70% -4.10%
Avg Days to Max Increase   11 10 7 10 4 11 1 12 5 9 2
2013 Contract Condition   Yes Yes       Yes   Yes Yes    
Action   Yes No       Yes   No No    
High 97.85 100.00 95.31 92.08 93.72 98.85 99.71 97.36 97.72 97.28 99.25 108.93
Low 89.71 90.93 87.88 87.91 88.74 93.18 92.92 90.84 86.24 90.06 91.68 95.98
Close/Last 97.27 93.78 89.46 91.79 93.72 98.68 93.20 97.30 93.41 92.30 96.44 105.03

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