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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   25 27 29 29 29 29 30 30 30 30 31
Closed Higher   13 18 16 14 13 14 13 18 18 21 19
Exceeded High   13 16 13 13 9 12 13 17 16 20 13
Scenario Percentage   100% 89% 81% 93% 69% 86% 100% 94% 89% 95% 68%
Avg Max Increase   8.06% 9.18% 10.63% 7.08% 9.72% 12.03% 10.68% 11.56% 12.85% 10.51% 7.80%
Max Increase   19.13% 43.12% 30.49% 22.29% 16.58% 23.16% 24.05% 31.02% 29.08% 27.52% 28.94%
Avg Days To Max Increase   19 19 17 14 23 16 17 15 16 12 11
Avg Max Decline   -2.19% -1.43% -1.80% -2.50% -3.01% -2.47% -2.55% -3.09% -1.65% -3.09% -1.50%
Max Decline   -12.23% -8.47% -6.96% -11.29% -8.76% -8.80% -9.65% -11.76% -5.86% -10.69% -6.38%
Avg Days to Max Decline   8 10 8 5 10 6 11 8 7 6 2
2013 Contract Condition   Yes Yes Yes     Yes Yes Yes   Yes  
Action   Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   25 27 29 29 29 29 30 30 30 30 31
Closed Lower   12 9 13 15 16 15 17 12 12 9 12
Penetrated Low   9 5 7 12 15 12 11 6 6 8 6
Scenario Percentage   75% 56% 54% 80% 94% 80% 65% 50% 50% 89% 50%
Avg Max Decline   6.40% 13.72% 15.27% 12.05% 11.28% 15.24% 15.63% 19.35% 10.66% 11.71% 7.31%
Max Decline   19.16% 26.05% 44.79% 47.55% 40.74% 29.48% 42.29% 44.01% 28.16% 21.58% 18.78%
Avg Days To Max Decline   14 21 17 17 19 18 17 15 12 13 13
Avg Max Increase   -0.81% -3.85% -1.96% -2.42% -3.13% -2.01% -4.01% -1.98% -4.75% -2.69% -2.34%
Max Increase   -3.75% -10.14% -11.15% -14.59% -7.31% -12.88% -12.23% -6.88% -11.53% -9.41% -6.80%
Avg Days to Max Increase   6 15 9 10 8 11 9 6 15 7 3
2013 Contract Condition         Yes Yes       Yes   Yes
Action         Yes Yes       Yes   Not Yet
High 105.68 89.16 94.65 99.32 101.42 95.69 92.03 93.58 99.31 99.52 97.60 98.06
Low 87.89 81.35 85.53 89.48 90.89 87.46 87.22 88.00 93.05 92.38 90.23 85.90
Close/Last 88.41 88.63 90.47 98.03 94.12 89.04 91.43 93.49 98.77 92.84 97.49 93.46

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