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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, 2014
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   24 26 28 29 29 29 30 30 31 31 31
Closed Higher   13 12 13 14 13 16 18 22 19 15 16
Exceeded High   12 10 8 12 12 14 17 19 17 12 13
Scenario Percentage   92% 83% 62% 86% 92% 88% 94% 86% 89% 80% 81%
Avg Max Increase   9.59% 7.41% 10.06% 10.90% 10.51% 11.95% 11.21% 10.08% 9.15% 11.18% 7.16%
Max Increase   28.65% 20.96% 14.74% 22.27% 21.37% 26.54% 27.22% 24.96% 28.31% 18.91% 13.21%
Avg Days To Max Increase   16 15 24 16 19 16 19 14 14 15 14
Avg Max Decline   -1.10% -1.49% -2.98% -2.10% -1.81% -3.10% -1.32% -3.30% -2.54% -3.41% -1.17%
Max Decline   -4.92% -7.41% -9.42% -8.41% -9.24% -10.57% -5.16% -11.02% -9.71% -10.55% -4.21%
Avg Days to Max Decline   9 6 17 5 9 9 9 10 7 9 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   24 26 28 29 29 29 30 30 31 31 31
Closed Lower   11 14 15 15 16 13 12 8 12 16 15
Penetrated Low   6 12 14 12 11 7 7 5 7 11 8
Scenario Percentage   55% 86% 93% 80% 69% 54% 58% 63% 58% 69% 53%
Avg Max Decline   14.14% 10.99% 10.37% 13.96% 14.50% 16.35% 8.81% 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 17 18 21 17 17 11 14 20 15 14
Avg Max Increase   -1.64% -1.88% -3.03% -1.16% -2.70% -2.41% -3.40% -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 14 7 12 5 3
2013 Contract Condition     Yes Yes       Yes   Yes Yes  
Action     Yes Yes       Yes   No Not Yet  
High 94.16 98.21 99.98 95.51 92.32 93.76 99.18 99.98 97.64 97.94 97.46 99.21
Low 86.99 89.71 90.82 88.18 87.97 88.64 93.29 92.81 90.74 86.29 90.29 91.50
Close/Last 90.45 97.57 93.91 89.39 91.73 93.76 98.94 93.23 97.57 93.67 92.21 96.56

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