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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 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   27 30 31 31 31 31 32 32 32 32 32
Closed Higher   11 17 23 20 16 15 21 17 16 14 14
Exceeded High   10 16 22 17 10 14 19 13 13 9 9
Scenario Percentage   91% 94% 96% 85% 63% 93% 90% 76% 81% 64% 64%
Avg Max Increase   10.54% 9.62% 7.83% 7.54% 11.10% 9.76% 11.87% 11.96% 8.54% 11.12% 8.89%
Max Increase   24.77% 19.42% 19.11% 31.57% 19.69% 20.90% 68.88% 46.36% 24.77% 24.26% 16.21%
Avg Days To Max Increase   14 17 16 14 21 18 19 17 13 15 13
Avg Max Decline   -1.51% -0.81% -2.38% -1.55% -1.15% -2.25% -1.22% -2.30% -3.72% -2.83% -1.03%
Max Decline   -4.10% -4.27% -9.96% -5.44% -5.66% -13.78% -9.55% -13.14% -13.15% -5.97% -2.53%
Avg Days to Max Decline   7 10 10 10 7 10 7 7 6 10 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   27 30 31 31 31 31 32 32 32 32 32
Closed Lower   15 13 7 11 15 16 11 15 15 18 18
Penetrated Low   7 6 3 5 9 11 7 10 12 17 14
Scenario Percentage   47% 46% 43% 45% 60% 69% 64% 67% 80% 94% 78%
Avg Max Decline   13.54% 8.30% 10.39% 5.20% 8.51% 8.35% 13.06% 14.39% 15.04% 14.10% 11.65%
Max Decline   38.95% 24.21% 16.86% 8.93% 12.43% 20.54% 27.38% 47.12% 51.99% 47.46% 33.90%
Avg Days To Max Decline   19 19 23 20 17 17 17 17 17 15 13
Avg Max Increase   -1.71% -2.83% -1.17% -2.87% -0.45% -2.30% -3.73% -3.44% -1.75% -2.59% -2.01%
Max Increase   -5.46% -8.74% -2.33% -6.90% -2.69% -8.84% -15.61% -16.04% -7.95% -5.77% -7.11%
Avg Days to Max Increase   4 13 7 9 2 9 12 13 6 5 3
2014 Contract Condition     Yes   Yes Yes       Yes Yes Yes
Action     Yes   No No       Yes Yes Not Yet
High 93.20 97.07 98.12 95.42 95.84 95.18 97.14 102.01 107.94 106.38 103.34 96.93
Low 88.76 92.41 92.14 90.00 85.46 88.40 90.35 93.28 98.55 99.90 96.14 91.77
Close/Last 93.19 96.95 92.21 95.37 91.65 90.83 93.64 100.32 104.17 101.15 96.65 92.72

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