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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, 2013
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   24 26 27 27 29 29 29 30 30 30 30
Closed Higher   12 12 12 12 16 17 21 20 14 15 20
Exceeded High   10 7 10 12 15 16 19 17 11 14 18
Scenario Percentage   83% 58% 83% 100% 94% 94% 90% 85% 79% 93% 90%
Avg Max Increase   7.20% 8.51% 9.70% 10.14% 11.00% 10.89% 9.60% 8.80% 11.11% 9.88% 8.72%
Max Increase   21.09% 14.18% 17.87% 20.30% 24.34% 25.29% 23.85% 29.55% 18.59% 16.41% 41.37%
Avg Days To Max Increase   14 23 14 19 17 17 14 15 20 9 11
Avg Max Decline   -1.13% -2.95% -1.85% -2.21% -2.88% -1.01% -3.16% -2.24% -3.10% -2.49% -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 5 11 9 9 11 7 10 12 1
2012 Contract Condition     Yes Yes   Yes Yes   Yes     Yes
Action     Yes Yes   Yes Yes   No     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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   24 26 27 27 29 29 29 30 30 30 30
Closed Lower   12 14 15 15 13 12 8 10 16 15 10
Penetrated Low   9 12 13 10 7 6 5 6 11 10 6
Scenario Percentage   75% 86% 87% 67% 54% 50% 63% 60% 69% 67% 60%
Avg Max Decline   12.32% 11.29% 12.44% 15.28% 15.68% 8.72% 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   -0.40% -3.04% -1.53% -2.48% -2.18% -2.74% -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   10 10 7 10 4 7 1 12 5 9 2
2012 Contract Condition   Yes     Yes     Yes   Yes Yes  
Action   Yes     No     Yes   Yes Not Yet  
High 99.79 91.95 93.35 100.73 101.20 103.67 110.60 110.75 107.16 107.12 87.62 93.25
Low 84.00 80.89 77.89 88.67 93.44 99.12 97.59 103.94 102.66 86.50 77.70 82.50
Close/Last 91.49 81.35 92.10 99.12 98.87 100.12 108.21 104.66 105.71 87.17 85.37 88.06

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