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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Crude Oil(NYM) as of Oct 20, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   32 33 34 35 35 35 36 36 36 36 36
Closed Higher   16 17 20 21 18 15 16 16 19 22 24
Exceeded High   12 15 18 17 16 10 14 16 18 19 20
Scenario Percentage   75% 88% 90% 81% 89% 67% 88% 100% 95% 86% 83%
Avg Max Increase   8.90% 7.97% 9.20% 9.95% 7.22% 10.32% 12.60% 10.24% 11.98% 13.62% 8.84%
Max Increase   19.67% 19.00% 47.75% 33.91% 22.30% 17.51% 24.18% 27.19% 32.58% 43.26% 25.31%
Avg Days To Max Increase   19 21 21 14 14 24 15 17 17 13 14
Avg Max Decline   -1.37% -1.95% -1.34% -1.72% -2.39% -2.86% -2.19% -2.89% -3.83% -2.87% -2.30%
Max Decline   -7.04% -11.71% -8.10% -7.53% -11.42% -9.01% -8.59% -10.12% -12.77% -15.55% -8.09%
Avg Days to Max Decline   7 9 9 6 5 10 5 10 10 8 3
2019 Contract Condition   Yes Yes   Yes Yes       Yes Yes Yes
Action   No Yes   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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   32 33 34 35 35 35 36 36 36 36 36
Closed Lower   16 16 14 14 17 20 20 20 17 14 12
Penetrated Low   11 12 9 8 14 19 17 13 9 6 5
Scenario Percentage   69% 75% 64% 57% 82% 95% 85% 65% 53% 43% 42%
Avg Max Decline   8.55% 9.01% 11.40% 15.27% 12.51% 13.39% 16.53% 17.10% 16.73% 10.98% 8.70%
Max Decline   17.40% 31.17% 26.20% 45.01% 48.41% 42.05% 34.38% 44.68% 45.53% 28.26% 19.87%
Avg Days To Max Decline   18 16 19 18 18 20 19 19 15 13 7
Avg Max Increase   -0.45% -0.90% -1.83% -1.31% -2.57% -2.63% -2.64% -3.96% -3.22% -5.04% -2.91%
Max Increase   -2.10% -6.60% -11.04% -11.54% -13.79% -7.53% -13.18% -12.22% -12.00% -11.53% -9.40%
Avg Days to Max Increase   2 6 10 8 12 7 10 10 6 14 2
2019 Contract Condition       Yes     Yes Yes Yes      
Action       Yes     Yes Yes No      
High 63.43 67.72 66.81 67.36 68.08 72.47 75.80 66.02 55.36 55.85 58.28 60.73
Low 58.28 61.70 61.15 62.68 62.47 65.52 65.53 50.16 43.46 45.52 52.16 54.87
Close/Last 62.98 63.70 66.53 65.36 67.57 72.09 65.99 51.50 46.51 54.31 57.61 60.14

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