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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   25 28 29 31 31 31 32 32 32 32 32
Closed Higher   8 12 14 16 18 23 20 16 16 21 17
Exceeded High   5 10 14 14 17 21 17 11 14 19 11
Scenario Percentage   63% 83% 100% 88% 94% 91% 85% 69% 88% 90% 65%
Avg Max Increase   7.58% 8.21% 9.35% 9.79% 10.02% 8.52% 8.34% 10.95% 10.99% 12.59% 9.77%
Max Increase   11.14% 15.18% 19.73% 23.95% 23.22% 22.54% 30.51% 19.08% 21.40% 64.94% 28.11%
Avg Days To Max Increase   20 15 18 14 18 15 15 19 16 14 14
Avg Max Decline   -1.35% -2.09% -1.75% -1.75% -1.09% -2.94% -2.11% -2.32% -1.98% -1.54% -0.81%
Max Decline   -1.88% -8.05% -7.95% -4.34% -5.04% -10.86% -7.80% -8.52% -10.10% -11.56% -4.69%
Avg Days to Max Decline   6 6 10 7 9 11 9 7 8 4 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   25 28 29 31 31 31 32 32 32 32 32
Closed Lower   16 16 15 14 13 8 12 16 16 11 15
Penetrated Low   13 14 10 7 7 5 6 11 11 7 7
Scenario Percentage   81% 88% 67% 50% 54% 63% 50% 69% 69% 64% 47%
Avg Max Decline   10.11% 11.35% 14.43% 14.75% 8.30% 8.37% 6.25% 9.23% 9.30% 11.43% 8.94%
Max Decline   36.38% 26.39% 35.26% 40.71% 27.42% 17.19% 11.56% 15.23% 21.09% 27.31% 21.61%
Avg Days To Max Decline   18 19 17 19 12 14 22 17 16 9 12
Avg Max Increase   -2.30% -1.38% -1.96% -2.20% -2.66% -2.35% -3.14% -1.50% -2.80% -2.08% -1.12%
Max Increase   -6.61% -11.57% -7.39% -5.68% -8.35% -6.97% -8.32% -5.26% -8.88% -4.90% -2.72%
Avg Days to Max Increase   8 10 9 4 10 1 12 4 11 6 2
2014 Contract Condition   Yes Yes   Yes     Yes     Yes Yes
Action   Yes Yes   No     No     Yes Yes
High 96.10 96.56 93.24 94.83 94.38 97.62 98.71 99.80 101.35 105.55 104.46 97.75
Low 92.55 91.65 90.99 92.14 88.69 90.54 93.72 94.61 95.59 99.14 96.75 92.50
Close/Last 93.63 92.75 91.65 94.00 91.21 96.92 97.04 96.50 100.00 103.85 97.32 95.96

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