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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 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   31 32 34 34 35 35 36 36 36 37 37
Closed Higher   20 18 16 15 16 16 19 22 24 23 17
Exceeded High   19 15 16 10 14 16 18 20 22 21 12
Scenario Percentage   95% 83% 100% 67% 88% 100% 95% 91% 92% 91% 71%
Avg Max Increase   7.76% 9.85% 6.57% 9.36% 11.56% 9.31% 10.95% 11.30% 10.64% 8.81% 8.56%
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   17 13 12 21 15 17 17 18 14 10 12
Avg Max Decline   -1.16% -1.33% -2.39% -2.36% -2.11% -2.46% -3.44% -2.54% -3.32% -2.24% -1.67%
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   10 8 4 10 5 9 9 9 9 5 4
2019 Contract Condition     Yes Yes       Yes Yes Yes Yes  
Action     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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   31 32 34 34 35 35 36 36 36 37 37
Closed Lower   11 14 18 19 19 19 17 14 12 13 20
Penetrated Low   7 9 15 18 16 13 9 6 7 8 14
Scenario Percentage   64% 64% 83% 95% 84% 68% 53% 43% 58% 62% 70%
Avg Max Decline   13.13% 13.49% 11.35% 12.54% 15.81% 15.76% 15.79% 10.27% 11.37% 10.81% 7.77%
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   21 14 18 20 20 19 18 12 12 15 13
Avg Max Increase   -1.75% -1.39% -2.67% -2.34% -2.57% -3.54% -3.45% -4.46% -3.13% -4.47% -1.40%
Max Increase   -9.32% -10.57% -13.94% -7.00% -12.54% -11.80% -11.46% -11.25% -9.27% -10.98% -3.58%
Avg Days to Max Increase   9 9 10 9 10 8 5 16 7 10 3
2019 Contract Condition   Yes     Yes Yes Yes         Yes
Action   No     Yes Yes No         Yes
High 65.83 66.22 67.39 71.88 75.20 66.03 55.64 56.31 59.19 60.98 66.44 64.01
Low 60.55 62.06 62.09 65.03 65.68 50.55 44.20 46.35 53.20 55.80 60.39 53.05
Close/Last 65.59 64.75 66.91 71.51 66.06 51.66 47.30 54.86 58.49 60.40 63.98 53.50

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