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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Crude Oil(NYM) as of Jun 08, 2020
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   34 35 35 36 36 36 37 37 37 37 37
Closed Higher   24 24 17 18 23 21 20 17 18 20 19
Exceeded High   23 20 11 16 20 16 18 11 16 19 9
Scenario Percentage   96% 83% 65% 89% 87% 76% 90% 65% 89% 95% 47%
Avg Max Increase   8.49% 6.48% 9.33% 8.11% 10.45% 11.87% 7.75% 12.16% 13.67% 9.04% 7.24%
Max Increase   18.96% 30.64% 20.21% 19.96% 57.94% 40.70% 23.66% 22.62% 28.40% 22.83% 11.76%
Avg Days To Max Increase   17 14 18 19 21 14 13 24 15 14 12
Avg Max Decline   -2.36% -1.96% -0.90% -2.31% -2.13% -2.09% -2.40% -2.77% -2.69% -2.27% -1.41%
Max Decline   -9.61% -5.08% -4.51% -12.94% -13.33% -10.27% -12.15% -7.76% -9.26% -10.82% -4.76%
Avg Days to Max Decline   8 8 7 11 8 10 5 9 5 7 3
2020 Contract Condition   Yes Yes   Yes Yes     Yes Yes Yes  
Action   Yes No   Yes 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   34 35 35 36 36 36 37 37 37 37 37
Closed Lower   9 11 18 18 13 15 17 19 19 17 18
Penetrated Low   5 6 12 12 9 9 14 18 16 11 10
Scenario Percentage   56% 55% 67% 67% 69% 60% 82% 95% 84% 65% 56%
Avg Max Decline   8.60% 6.38% 8.82% 9.90% 12.09% 14.54% 12.87% 14.87% 17.05% 19.42% 11.14%
Max Decline   16.31% 13.56% 19.01% 32.87% 26.84% 46.42% 50.06% 45.65% 37.26% 43.46% 24.06%
Avg Days To Max Decline   11 20 16 16 19 19 16 18 18 17 10
Avg Max Increase   -2.64% -2.78% -0.70% -2.03% -2.59% -2.21% -2.15% -2.20% -2.64% -4.48% -1.64%
Max Increase   -6.17% -6.41% -2.27% -9.13% -12.86% -13.48% -11.91% -5.18% -8.32% -12.69% -7.07%
Avg Days to Max Increase   3 12 3 8 10 11 6 5 9 11 3
2020 Contract Condition       Yes     Yes Yes       Yes
Action       Yes     No Yes       Yes
High 59.30 60.30 63.50 62.29 58.28 59.63 57.19 60.15 56.65 58.32 62.14 65.40
Low 54.33 56.64 59.93 52.63 50.53 54.30 50.08 51.57 50.18 53.74 55.14 50.97
Close/Last 58.72 59.56 61.97 53.07 57.12 57.78 53.43 52.90 53.92 54.98 60.77 51.56

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