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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   25 27 29 30 30 30 31 31 32 32 32
Closed Higher   14 12 13 14 14 16 19 23 19 16 17
Exceeded High   13 10 8 12 13 14 18 20 17 13 13
Scenario Percentage   93% 83% 62% 86% 93% 88% 95% 87% 89% 81% 76%
Avg Max Increase   8.99% 7.41% 10.06% 10.90% 10.03% 11.95% 10.76% 9.81% 9.15% 10.74% 7.16%
Max Increase   28.65% 20.96% 14.74% 22.27% 21.37% 26.54% 27.22% 24.96% 28.31% 18.91% 13.21%
Avg Days To Max Increase   16 15 24 16 19 16 18 14 14 16 14
Avg Max Decline   -1.15% -1.49% -2.98% -2.10% -2.14% -3.10% -1.46% -3.27% -2.54% -3.23% -1.17%
Max Decline   -4.92% -7.41% -9.42% -8.41% -9.24% -10.57% -5.16% -11.02% -9.71% -10.55% -4.21%
Avg Days to Max Decline   10 6 17 5 9 9 10 9 7 9 4
2014 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   25 27 29 30 30 30 31 31 32 32 32
Closed Lower   11 15 16 16 16 14 12 8 13 16 15
Penetrated Low   6 13 15 13 11 7 7 5 7 11 8
Scenario Percentage   55% 87% 94% 81% 69% 50% 58% 63% 54% 69% 53%
Avg Max Decline   14.14% 10.40% 9.83% 13.11% 14.50% 16.35% 8.81% 9.89% 9.31% 11.41% 6.67%
Max Decline   43.39% 45.17% 38.13% 27.48% 38.92% 42.72% 28.07% 17.44% 21.18% 18.58% 16.28%
Avg Days To Max Decline   15 18 19 20 17 17 11 14 20 15 14
Avg Max Increase   -1.64% -1.97% -2.85% -1.42% -2.70% -2.41% -3.40% -2.57% -4.29% -1.46% -2.43%
Max Increase   -9.16% -14.20% -6.80% -11.92% -9.25% -6.44% -10.55% -7.75% -10.62% -4.03% -7.85%
Avg Days to Max Increase   10 9 9 12 8 4 14 7 12 5 3
2014 Contract Condition     Yes Yes Yes   Yes     Yes    
Action     Yes Yes Yes   No     No    
High 94.88 97.70 97.39 97.82 94.23 96.63 95.46 99.61 101.12 102.04 103.58 107.50
Low 90.57 92.91 94.40 92.78 91.74 92.75 89.73 92.02 95.06 96.40 97.30 100.93
Close/Last 94.41 96.10 94.90 93.91 92.47 95.60 92.90 98.93 98.95 98.28 101.98 105.37

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