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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November Crude Oil(NYM) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   27 27 30 31 31 32 32 32 32 32 32
Closed Higher   12 13 15 19 23 21 16 16 21 17 17
Exceeded High   10 13 12 17 21 18 12 15 19 14 14
Scenario Percentage   83% 100% 80% 89% 91% 86% 75% 94% 90% 82% 82%
Avg Max Increase   7.92% 8.76% 10.90% 10.24% 8.27% 7.63% 10.02% 10.27% 13.63% 12.00% 5.32%
Max Increase   14.39% 19.47% 24.33% 22.99% 21.11% 30.62% 19.30% 21.00% 85.48% 52.07% 11.46%
Avg Days To Max Increase   15 20 17 20 15 14 18 15 18 14 12
Avg Max Decline   -1.89% -1.93% -1.61% -1.17% -2.77% -2.06% -1.99% -2.64% -1.54% -3.06% -2.86%
Max Decline   -7.78% -7.26% -4.05% -4.42% -10.64% -6.56% -7.56% -14.99% -10.88% -14.66% -14.33%
Avg Days to Max Decline   6 10 7 10 10 10 7 8 7 8 3
2014 Contract Condition     Yes   Yes Yes   Yes Yes      
Action     Yes   Yes Yes   Yes No      
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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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   27 27 30 31 31 32 32 32 32 32 32
Closed Lower   15 14 14 12 7 11 16 16 10 15 15
Penetrated Low   12 10 7 7 4 5 11 11 7 9 11
Scenario Percentage   80% 71% 50% 58% 57% 45% 69% 69% 70% 60% 73%
Avg Max Decline   11.64% 14.11% 14.13% 8.05% 9.45% 5.70% 8.25% 8.97% 14.11% 14.99% 8.46%
Max Decline   25.88% 34.08% 39.90% 27.37% 17.09% 9.65% 14.13% 21.05% 27.64% 40.81% 31.87%
Avg Days To Max Decline   19 17 19 10 18 20 17 17 15 13 10
Avg Max Increase   -0.26% -2.03% -1.95% -1.33% -2.80% -3.27% -1.08% -2.58% -3.99% -3.95% -1.37%
Max Increase   -3.61% -9.13% -5.88% -4.34% -7.73% -7.78% -5.78% -8.90% -16.89% -20.38% -4.83%
Avg Days to Max Increase   10 9 4 8 6 15 3 10 12 11 2
2014 Contract Condition   Yes   Yes     Yes     Yes Yes Yes
Action   Yes   No     No     Yes Yes Yes
High 95.60 92.76 94.00 93.76 96.33 97.71 98.81 100.32 104.44 103.54 97.35 94.94
Low 91.30 90.38 91.69 87.85 89.76 93.00 93.88 94.76 98.25 96.13 91.96 89.56
Close/Last 92.23 91.23 93.34 90.54 96.03 96.16 95.67 99.00 102.98 96.73 95.02 91.16

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