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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 Nov 09, 2020
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   32 34 36 36 36 36 37 37 37 37 38
Closed Higher   18 21 20 17 16 17 17 20 22 24 23
Exceeded High   17 19 15 16 11 15 17 19 19 23 16
Scenario Percentage   94% 90% 75% 94% 69% 88% 100% 95% 86% 96% 70%
Avg Max Increase   7.24% 8.51% 10.86% 7.17% 10.28% 12.49% 9.55% 11.15% 12.35% 10.97% 7.13%
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   19 20 15 12 24 15 16 17 17 13 11
Avg Max Decline   -2.23% -2.28% -1.98% -2.32% -2.56% -2.15% -2.64% -3.50% -2.65% -3.23% -1.91%
Max Decline   -12.23% -12.48% -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 8 6 10 8 8 6 2
2020 Contract Condition   Yes Yes     Yes Yes Yes        
Action   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   32 34 36 36 36 36 37 37 37 37 38
Closed Lower   14 13 16 19 20 19 20 17 15 13 15
Penetrated Low   10 9 9 16 19 16 13 9 7 10 7
Scenario Percentage   71% 69% 56% 84% 95% 84% 65% 53% 47% 77% 47%
Avg Max Decline   8.84% 11.33% 14.38% 11.60% 12.90% 16.49% 16.34% 21.91% 21.36% 18.06% 7.58%
Max Decline   30.84% 26.05% 44.79% 47.55% 40.74% 33.14% 42.29% 58.22% 85.59% 73.48% 18.78%
Avg Days To Max Decline   15 19 15 17 20 19 18 16 13 13 11
Avg Max Increase   -0.65% -2.45% -3.02% -2.81% -2.58% -2.71% -3.90% -3.61% -5.29% -6.28% -2.00%
Max Increase   -3.75% -10.14% -13.33% -14.59% -7.31% -12.88% -12.23% -11.81% -11.53% -35.25% -6.80%
Avg Days to Max Increase   5 11 9 9 6 11 8 8 13 8 3
2020 Contract Condition       Yes Yes       Yes Yes Yes Yes
Action       Yes Yes       Yes Yes Yes Not Yet
High 61.10 57.49 58.69 56.39 59.50 55.52 57.13 60.85 63.73 54.90 48.92 33.15
Low 52.11 50.22 53.57 49.73 50.82 49.44 52.82 54.20 51.22 44.27 21.64 6.50
Close/Last 52.58 56.26 56.82 52.50 51.77 52.96 54.10 59.44 51.80 45.10 24.51 18.84

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