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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, 2016
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   26 28 30 31 31 31 32 32 33 33 33
Closed Higher   14 12 13 14 14 16 20 23 20 16 17
Exceeded High   13 10 8 12 13 14 19 20 18 13 13
Scenario Percentage   93% 83% 62% 86% 93% 88% 95% 87% 90% 81% 76%
Avg Max Increase   8.99% 7.41% 10.06% 10.90% 10.03% 11.95% 10.63% 9.81% 8.90% 10.73% 7.14%
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   -1.15% -1.49% -2.98% -2.10% -2.14% -3.10% -2.14% -3.27% -2.50% -3.23% -1.17%
Max Decline   -4.92% -7.41% -9.42% -8.41% -9.24% -10.57% -14.27% -11.02% -9.71% -10.55% -4.21%
Avg Days to Max Decline   10 6 17 5 9 9 10 9 7 9 4
2015 Contract Condition               Yes   Yes    
Action               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   26 28 30 31 31 31 32 32 33 33 33
Closed Lower   12 16 17 17 17 15 12 9 13 17 16
Penetrated Low   7 14 16 14 12 8 7 5 7 12 9
Scenario Percentage   58% 88% 94% 82% 71% 53% 58% 56% 54% 71% 56%
Avg Max Decline   14.38% 11.31% 11.12% 14.13% 14.45% 15.41% 8.81% 9.89% 9.31% 11.94% 7.73%
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 18 17 11 14 20 15 14
Avg Max Increase   -1.40% -1.88% -2.71% -1.60% -2.70% -3.47% -3.40% -2.57% -4.29% -1.56% -2.07%
Max Increase   -9.16% -14.20% -6.80% -11.92% -9.25% -10.85% -10.55% -7.75% -10.62% -4.03% -7.85%
Avg Days to Max Increase   9 9 9 12 8 6 14 7 12 5 3
2015 Contract Condition   Yes Yes Yes Yes Yes Yes   Yes   Yes Yes
Action   Yes Yes Yes Yes Yes Yes   No   Yes Yes
High 96.78 93.85 92.52 88.01 80.56 70.13 58.43 59.24 57.19 61.48 64.12 62.22
Low 92.64 90.72 87.28 77.93 67.26 55.73 49.00 52.27 48.71 51.30 56.88 57.21
Close/Last 92.88 92.58 87.42 80.12 67.41 56.87 53.44 56.82 51.83 61.31 60.60 59.47

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