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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Crude Oil(NYM) as of Jun 08, 2020
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   34 35 36 36 37 37 37 37 37 37 37
Closed Higher   17 17 21 27 25 17 18 23 20 20 18
Exceeded High   16 15 20 24 21 11 16 21 16 18 9
Scenario Percentage   94% 88% 95% 89% 84% 65% 89% 91% 80% 90% 50%
Avg Max Increase   9.15% 9.67% 9.56% 9.31% 7.53% 10.86% 9.60% 12.13% 12.16% 7.75% 7.36%
Max Increase   19.00% 24.64% 21.78% 20.39% 31.94% 19.60% 21.06% 75.72% 50.17% 22.54% 15.08%
Avg Days To Max Increase   18 13 18 17 15 18 16 19 16 11 12
Avg Max Decline   -1.92% -2.29% -1.97% -2.88% -2.39% -1.66% -2.60% -2.36% -3.27% -3.51% -1.36%
Max Decline   -7.77% -9.97% -13.40% -10.42% -5.98% -6.66% -14.44% -13.97% -14.04% -14.87% -4.31%
Avg Days to Max Decline   10 7 9 7 8 6 8 8 9 5 1
2019 Contract Condition     Yes Yes Yes Yes   Yes Yes     Yes
Action     Yes Yes Yes No   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   34 35 36 36 37 37 37 37 37 37 37
Closed Lower   17 18 15 9 12 20 19 13 17 17 19
Penetrated Low   12 8 7 5 6 14 13 11 9 15 15
Scenario Percentage   71% 44% 47% 56% 50% 70% 68% 85% 53% 88% 79%
Avg Max Decline   14.92% 13.88% 9.48% 9.97% 6.94% 9.16% 11.41% 11.37% 15.98% 12.85% 9.56%
Max Decline   32.91% 39.08% 27.46% 17.05% 14.84% 21.30% 35.47% 27.64% 47.30% 47.35% 22.15%
Avg Days To Max Decline   18 20 14 15 20 18 17 13 18 12 14
Avg Max Increase   -2.44% -2.33% -1.64% -3.51% -3.25% -1.33% -2.26% -2.90% -3.47% -2.48% -2.43%
Max Increase   -9.13% -6.26% -4.23% -7.36% -7.29% -5.62% -8.98% -16.88% -17.88% -12.86% -5.84%
Avg Days to Max Increase   8 3 8 7 11 4 9 9 14 4 3
2019 Contract Condition   Yes         Yes     Yes Yes  
Action   No         Yes     No Yes  
High 65.56 55.98 56.20 59.80 60.91 64.89 63.38 59.30 60.56 57.94 62.75 56.92
Low 51.03 45.14 47.40 54.28 56.74 60.39 53.06 50.84 54.80 50.33 52.46 50.89
Close/Last 51.89 48.38 54.96 59.13 60.22 63.07 53.55 57.98 58.50 54.56 53.98 54.18

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