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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Crude Oil(NYM) as of Jan 01, 2013
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   24 25 27 27 28 28 29 29 29 30 30
Closed Higher   17 13 13 13 13 12 16 18 20 19 15
Exceeded High   16 12 13 9 11 12 15 17 18 18 10
Scenario Percentage   94% 92% 100% 69% 85% 100% 94% 94% 90% 95% 67%
Avg Max Increase   7.96% 10.05% 6.42% 9.22% 11.69% 10.58% 12.09% 11.73% 10.39% 9.06% 9.26%
Max Increase   38.98% 29.27% 21.25% 15.58% 22.63% 22.30% 28.77% 28.56% 26.09% 26.92% 14.79%
Avg Days To Max Increase   16 15 13 20 15 17 16 17 13 10 12
Avg Max Decline   -0.90% -1.06% -2.63% -2.53% -2.14% -2.50% -3.09% -1.62% -3.31% -2.00% -1.62%
Max Decline   -7.82% -5.67% -12.09% -8.73% -8.47% -8.56% -11.08% -5.36% -11.47% -7.16% -4.51%
Avg Days to Max Decline   10 9 5 11 4 11 9 9 11 5 4
2012 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   24 25 27 27 28 28 29 29 29 30 30
Closed Lower   7 12 14 14 15 16 13 11 9 10 15
Penetrated Low   4 8 11 13 12 11 7 5 6 7 11
Scenario Percentage   57% 67% 79% 93% 80% 69% 54% 45% 67% 70% 73%
Avg Max Decline   15.99% 13.14% 11.68% 11.54% 14.59% 15.13% 17.21% 10.83% 10.91% 10.75% 8.12%
Max Decline   25.80% 44.30% 46.58% 39.56% 28.64% 40.73% 43.39% 27.71% 17.47% 28.63% 24.87%
Avg Days To Max Decline   24 14 18 19 20 18 17 11 13 14 13
Avg Max Increase   -3.06% -1.57% -2.24% -2.87% -1.91% -3.73% -2.42% -4.25% -2.67% -4.42% -1.39%
Max Increase   -9.32% -10.57% -13.94% -7.00% -12.54% -11.80% -6.85% -11.25% -9.27% -10.98% -3.58%
Avg Days to Max Increase   13 10 10 10 10 9 4 12 6 8 4
2012 Contract Condition   Yes Yes Yes     Yes     Yes   Yes
Action   Yes Yes Yes     No     Yes   Yes
High 104.95 103.51 101.66 91.79 93.31 101.60 101.71 104.07 110.85 111.49 106.48 106.77
Low 94.88 98.81 81.87 79.80 77.40 89.40 93.45 98.79 97.05 103.15 101.77 85.86
Close/Last 100.17 99.82 91.21 80.84 92.43 99.87 99.38 99.90 108.25 104.03 105.26 86.53

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