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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, 2015
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   26 28 30 30 30 30 31 31 31 31 32
Closed Higher   14 19 17 14 13 14 14 18 19 21 19
Exceeded High   14 17 13 13 9 12 14 17 17 20 13
Scenario Percentage   100% 89% 76% 93% 69% 86% 100% 94% 89% 95% 68%
Avg Max Increase   8.26% 8.94% 10.63% 7.08% 9.72% 12.03% 10.25% 11.56% 12.28% 10.36% 7.47%
Max Increase   19.13% 43.12% 30.49% 22.29% 16.58% 23.16% 24.05% 31.02% 29.08% 24.43% 28.94%
Avg Days To Max Increase   20 20 17 14 23 16 18 15 16 12 10
Avg Max Decline   -2.06% -1.46% -1.80% -2.50% -3.01% -2.47% -2.83% -3.09% -1.82% -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   7 10 8 5 10 6 11 8 7 6 2
2014 Contract Condition   Yes Yes Yes       Yes   Yes    
Action   Yes Yes No       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   26 28 30 30 30 30 31 31 31 31 32
Closed Lower   12 9 13 16 17 16 17 13 12 10 13
Penetrated Low   9 5 7 13 16 13 11 6 6 8 6
Scenario Percentage   75% 56% 54% 81% 94% 81% 65% 46% 50% 80% 46%
Avg Max Decline   6.40% 13.72% 15.27% 11.46% 10.77% 14.24% 15.63% 19.35% 10.66% 11.60% 6.96%
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 18 20 18 17 15 12 13 12
Avg Max Increase   -0.81% -3.85% -1.96% -2.48% -2.95% -2.31% -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 7 12 9 6 15 7 3
2014 Contract Condition         Yes Yes Yes   Yes   Yes Yes
Action         Yes Yes Yes   No   Not Yet Not Yet
High 92.96 94.46 96.59 100.65 99.49 99.46 95.31 98.60 97.74 101.77 103.45 104.10
Low 86.89 88.01 90.40 93.99 95.31 93.95 92.21 92.95 90.97 93.73 96.42 98.15
Close/Last 89.17 90.74 95.83 97.94 96.44 95.08 93.12 97.28 94.85 100.95 100.82 99.74

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