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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 Dec 30, 2016
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   28 29 31 31 32 32 33 33 33 34 34
Closed Higher   19 16 13 14 14 14 17 20 22 21 17
Exceeded High   18 13 13 9 12 14 16 19 20 20 12
Scenario Percentage   95% 81% 100% 64% 86% 100% 94% 95% 91% 95% 71%
Avg Max Increase   7.94% 9.48% 6.42% 9.22% 11.42% 9.85% 11.38% 11.18% 10.55% 9.00% 8.86%
Max Increase   38.98% 29.27% 21.25% 15.58% 22.63% 22.30% 28.77% 28.56% 26.09% 26.92% 15.13%
Avg Days To Max Increase   17 15 13 20 16 17 16 18 13 10 14
Avg Max Decline   -0.91% -1.08% -2.63% -2.53% -2.25% -2.63% -3.03% -2.43% -3.43% -2.22% -1.74%
Max Decline   -7.82% -5.67% -12.09% -8.73% -8.47% -8.56% -11.08% -14.39% -11.47% -7.16% -4.51%
Avg Days to Max Decline   9 9 5 11 5 10 8 9 10 5 4
2016 Contract Condition     Yes   Yes         Yes Yes Yes
Action     No   No         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   28 29 31 31 32 32 33 33 33 34 34
Closed Lower   9 13 18 17 18 18 16 13 11 12 17
Penetrated Low   6 9 15 16 15 13 8 6 6 7 11
Scenario Percentage   67% 69% 83% 94% 83% 72% 50% 46% 55% 58% 65%
Avg Max Decline   14.66% 13.49% 11.35% 11.60% 15.90% 15.76% 16.23% 10.27% 10.91% 11.12% 9.11%
Max Decline   25.80% 44.30% 46.58% 39.56% 32.04% 40.73% 43.39% 27.71% 17.47% 28.63% 24.87%
Avg Days To Max Decline   25 14 18 20 19 19 17 12 13 16 16
Avg Max Increase   -1.93% -1.39% -2.67% -2.57% -2.23% -3.54% -3.55% -4.46% -2.67% -4.42% -1.65%
Max Increase   -9.32% -10.57% -13.94% -7.00% -12.54% -11.80% -11.46% -11.25% -9.27% -10.98% -4.16%
Avg Days to Max Increase   10 9 10 10 10 8 6 16 6 8 5
2016 Contract Condition   Yes   Yes   Yes Yes Yes Yes      
Action   Yes   Yes   Yes Yes No No      
High 64.00 61.15 54.41 53.19 53.75 52.25 46.98 42.64 39.39 43.69 47.54 50.21
Low 60.24 52.43 43.44 48.31 47.29 45.32 39.50 31.61 33.14 37.32 37.50 43.65
Close/Last 61.99 52.83 54.38 49.04 50.65 46.51 41.33 38.99 37.79 40.69 46.69 49.10

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