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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 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   31 33 35 35 35 35 36 36 36 36 37
Closed Higher   17 20 20 17 15 16 16 20 22 24 23
Exceeded High   16 18 15 16 10 14 16 19 19 23 16
Scenario Percentage   94% 90% 75% 94% 67% 88% 100% 95% 86% 96% 70%
Avg Max Increase   7.42% 8.72% 10.86% 7.17% 9.82% 12.12% 9.70% 11.15% 12.35% 11.10% 7.40%
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 20 15 12 24 15 17 17 17 13 12
Avg Max Decline   -2.18% -1.71% -1.98% -2.32% -2.79% -2.32% -2.66% -3.50% -2.65% -3.23% -1.91%
Max Decline   -12.23% -8.47% -6.96% -11.29% -8.76% -8.80% -9.65% -11.76% -14.69% -10.69% -6.38%
Avg Days to Max Decline   9 10 8 4 9 6 10 8 8 6 2
2019 Contract Condition   Yes   Yes Yes       Yes Yes Yes Yes
Action   Yes   Yes Yes       Yes Yes Yes Not Yet
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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   31 33 35 35 35 35 36 36 36 36 37
Closed Lower   14 13 15 18 20 19 20 16 14 12 14
Penetrated Low   10 9 8 15 19 16 13 8 6 9 7
Scenario Percentage   71% 69% 53% 83% 95% 84% 65% 50% 43% 75% 50%
Avg Max Decline   8.84% 11.33% 15.45% 12.08% 12.90% 16.49% 16.34% 17.37% 10.66% 12.00% 7.88%
Max Decline   30.84% 26.05% 44.79% 47.55% 40.74% 33.14% 42.29% 44.01% 28.16% 21.58% 18.78%
Avg Days To Max Decline   15 19 16 18 20 19 18 16 12 12 12
Avg Max Increase   -0.65% -2.45% -1.73% -2.91% -2.58% -2.71% -3.90% -3.31% -4.75% -3.06% -2.00%
Max Increase   -3.75% -10.14% -11.15% -14.59% -7.31% -12.88% -12.23% -11.81% -11.53% -9.41% -6.80%
Avg Days to Max Increase   5 11 8 10 6 11 8 7 15 8 3
2019 Contract Condition     Yes     Yes Yes Yes        
Action     Yes     Yes Yes No        
High 67.44 66.45 67.03 67.79 72.30 75.65 66.11 55.53 56.10 58.76 60.87 66.60
Low 61.18 60.86 62.37 62.22 65.16 65.59 50.26 43.80 45.92 52.71 55.31 60.36
Close/Last 63.31 66.09 65.07 67.26 71.84 66.05 51.60 46.93 54.60 58.06 60.28 63.91

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