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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   23 25 27 28 28 28 29 29 30 30 30
Closed Higher   12 12 13 13 12 15 18 21 19 15 15
Exceeded High   11 10 8 11 11 13 17 18 17 12 12
Scenario Percentage   92% 83% 62% 85% 92% 87% 94% 86% 89% 80% 80%
Avg Max Increase   10.24% 7.41% 10.06% 11.15% 10.87% 12.79% 11.21% 10.61% 9.15% 11.17% 6.62%
Max Increase   28.65% 20.96% 14.74% 22.27% 21.37% 26.54% 27.22% 24.96% 28.31% 18.91% 12.17%
Avg Days To Max Increase   17 15 24 15 21 18 19 14 14 13 13
Avg Max Decline   -1.05% -1.49% -2.98% -1.98% -1.93% -3.29% -1.32% -3.42% -2.54% -2.51% -1.23%
Max Decline   -4.92% -7.41% -9.42% -8.41% -9.24% -10.57% -5.16% -11.02% -9.71% -7.11% -4.21%
Avg Days to Max Decline   10 6 17 5 10 10 9 10 7 7 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   23 25 27 28 28 28 29 29 30 30 30
Closed Lower   11 13 14 15 16 13 11 8 11 15 15
Penetrated Low   6 11 13 12 11 7 6 5 7 11 8
Scenario Percentage   55% 85% 93% 80% 69% 54% 55% 63% 64% 73% 53%
Avg Max Decline   14.14% 11.41% 11.05% 13.96% 14.50% 16.35% 9.04% 9.89% 9.31% 11.41% 6.67%
Max Decline   43.39% 45.17% 38.13% 27.48% 38.92% 42.72% 28.07% 17.44% 21.18% 18.58% 16.28%
Avg Days To Max Decline   15 18 19 21 17 17 9 14 20 15 14
Avg Max Increase   -1.64% -1.89% -3.01% -1.16% -2.70% -2.41% -3.12% -2.57% -4.29% -1.46% -2.43%
Max Increase   -9.16% -14.20% -6.80% -11.92% -9.25% -6.44% -10.55% -7.75% -10.62% -4.03% -7.85%
Avg Days to Max Increase   10 9 9 11 8 4 11 7 12 5 3
2012 Contract Condition   Yes Yes     Yes     Yes   Yes Yes
Action   Yes Yes     No     Yes   Yes Not Yet
High 103.92 101.85 91.84 92.99 101.58 101.48 103.95 110.78 111.38 106.87 106.99 87.32
Low 100.10 81.99 80.88 77.65 88.79 93.40 98.71 97.37 103.52 102.29 86.19 77.28
Close/Last 100.10 91.37 81.09 92.26 99.49 99.15 100.04 108.30 104.40 105.55 86.85 84.96

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