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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 Sep 30, 2017
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   29 32 33 33 33 33 34 34 34 34 34
Closed Higher   11 18 24 22 17 15 21 19 17 15 15
Exceeded High   10 17 23 19 11 14 19 15 14 9 10
Scenario Percentage   91% 94% 96% 86% 65% 93% 90% 79% 82% 60% 67%
Avg Max Increase   10.54% 9.34% 8.35% 7.50% 10.56% 9.76% 11.87% 11.31% 8.42% 11.12% 9.02%
Max Increase   24.77% 19.42% 19.93% 31.57% 19.69% 20.90% 68.88% 46.36% 24.77% 24.26% 16.21%
Avg Days To Max Increase   14 18 16 14 20 18 19 16 13 15 13
Avg Max Decline   -1.51% -1.53% -2.60% -1.71% -1.26% -2.25% -1.22% -3.14% -3.52% -2.83% -1.02%
Max Decline   -4.10% -13.11% -9.96% -5.44% -5.66% -13.78% -9.55% -13.14% -13.15% -5.97% -2.53%
Avg Days to Max Decline   7 11 10 9 6 10 7 9 6 10 3
2018 Contract Condition               Yes   Yes    
Action               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   29 32 33 33 33 33 34 34 34 34 34
Closed Lower   17 14 8 11 16 18 13 15 16 19 19
Penetrated Low   8 6 3 5 10 13 9 10 13 18 15
Scenario Percentage   47% 43% 38% 45% 63% 72% 69% 67% 81% 95% 79%
Avg Max Decline   12.90% 8.30% 10.39% 5.20% 9.70% 11.03% 12.86% 14.39% 14.84% 13.84% 12.05%
Max Decline   38.95% 24.21% 16.86% 8.93% 20.42% 34.56% 27.38% 47.12% 51.99% 47.46% 33.90%
Avg Days To Max Decline   19 19 23 20 18 17 16 17 17 15 13
Avg Max Increase   -2.53% -2.83% -1.17% -2.87% -0.65% -2.03% -2.93% -3.44% -2.59% -2.51% -1.97%
Max Increase   -8.26% -8.74% -2.33% -6.90% -2.69% -8.84% -15.61% -16.04% -12.76% -5.77% -7.11%
Avg Days to Max Increase   4 13 7 9 3 7 10 13 6 4 3
2018 Contract Condition   Yes Yes Yes Yes Yes Yes   Yes   Yes  
Action   Yes Yes Yes Yes Yes No   Not Yet      
High 57.27 58.21 56.55 55.55 54.99 52.63 50.02 50.75 50.79 53.27 52.16  
Low 54.10 54.96 54.04 49.10 49.85 45.76 43.36 44.80 46.95 48.50 50.63  
Close/Last 56.99 55.38 55.25 52.10 50.69 49.21 47.31 50.53 49.00 52.14 51.14  

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