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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, 2014
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   25 26 28 28 29 29 30 30 30 31 31
Closed Higher   18 14 13 13 14 13 17 18 21 19 15
Exceeded High   17 13 13 9 12 13 16 17 19 18 10
Scenario Percentage   94% 93% 100% 69% 86% 100% 94% 94% 90% 95% 67%
Avg Max Increase   8.13% 9.48% 6.42% 9.22% 11.42% 10.26% 11.38% 11.73% 9.87% 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 16 17 16 17 13 10 12
Avg Max Decline   -0.90% -1.08% -2.63% -2.53% -2.25% -2.35% -3.03% -1.62% -3.20% -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   9 9 5 11 5 10 8 9 10 5 4
2013 Contract Condition   Yes Yes     Yes Yes Yes   Yes    
Action   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   25 26 28 28 29 29 30 30 30 31 31
Closed Lower   7 12 15 15 15 16 13 12 9 11 16
Penetrated Low   4 8 12 14 12 11 7 6 6 7 11
Scenario Percentage   57% 67% 80% 93% 80% 69% 54% 50% 67% 64% 69%
Avg Max Decline   15.99% 13.14% 11.26% 10.84% 14.59% 15.13% 17.21% 10.27% 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 17 18 20 18 17 12 13 14 13
Avg Max Increase   -3.06% -1.57% -2.18% -2.88% -1.91% -3.73% -2.42% -4.46% -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 11 10 10 9 4 16 6 8 4
2013 Contract Condition       Yes Yes       Yes   Yes Yes
Action       Yes Yes       Yes   Not Yet Not Yet
High 88.71 94.51 98.62 100.40 95.43 92.00 93.76 99.36 99.77 97.98 98.22 97.38
Low 81.50 85.96 89.73 90.87 87.79 87.76 88.48 93.25 92.67 90.56 86.16 90.32
Close/Last 88.71 90.48 97.83 94.04 89.27 91.63 93.70 98.99 93.11 97.64 93.68 91.97

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