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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February Crude Oil(NYM) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   26 27 28 29 29 30 30 30 30 30 30
Closed Higher   16 19 20 15 13 21 16 16 15 15 16
Exceeded High   15 18 17 10 13 19 13 13 10 13 15
Scenario Percentage   94% 95% 85% 67% 100% 90% 81% 81% 67% 87% 94%
Avg Max Increase   9.89% 8.53% 7.38% 10.73% 8.95% 11.11% 11.26% 8.14% 12.74% 14.60% 8.99%
Max Increase   17.47% 18.32% 31.97% 19.87% 21.18% 63.08% 43.64% 24.44% 27.15% 31.79% 16.99%
Avg Days To Max Increase   17 16 14 19 17 19 15 13 23 12 12
Avg Max Decline   -0.50% -2.33% -1.53% -0.62% -2.13% -1.21% -2.11% -2.92% -2.86% -3.20% -1.10%
Max Decline   -4.22% -9.77% -5.06% -5.01% -13.43% -9.12% -11.67% -12.01% -7.14% -9.95% -6.17%
Avg Days to Max Decline   12 9 10 6 11 7 8 5 9 6 4
2013 Contract Condition   Yes   Yes     Yes Yes     Yes Yes
Action   Yes   No     Yes 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   26 27 28 29 29 30 30 30 30 30 30
Closed Lower   10 7 8 14 16 9 13 14 15 15 14
Penetrated Low   4 5 4 10 11 5 9 10 14 12 8
Scenario Percentage   40% 71% 50% 71% 69% 56% 69% 71% 93% 80% 57%
Avg Max Decline   10.94% 6.69% 6.15% 7.65% 8.04% 15.61% 13.63% 13.84% 14.07% 16.07% 16.58%
Max Decline   27.66% 16.19% 9.41% 11.60% 20.12% 26.95% 46.60% 50.99% 49.25% 41.42% 36.71%
Avg Days To Max Decline   15 14 19 17 17 21 17 14 18 14 14
Avg Max Increase   -2.19% -1.77% -2.34% -1.01% -2.62% -4.83% -2.94% -1.38% -2.92% -2.19% -4.14%
Max Increase   -7.60% -6.19% -6.65% -6.17% -9.19% -14.94% -14.44% -5.75% -5.31% -10.68% -15.15%
Avg Days to Max Increase   8 4 9 3 9 15 12 6 6 10 5
2013 Contract Condition     Yes   Yes Yes     Yes Yes    
Action     Yes   Yes No     Yes Yes    
High 102.20 109.21 109.50 107.54 107.05 88.76 94.55 99.63 101.53 94.87 90.31 91.99
Low 98.98 98.92 104.46 103.41 88.27 80.06 84.61 89.15 90.19 85.74 85.16 85.76
Close/Last 100.07 107.43 105.32 105.89 88.29 87.56 90.04 97.86 93.42 87.28 89.49 91.82

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