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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, 2019
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   29 31 33 34 34 34 35 35 36 36 36
Closed Higher   16 14 15 16 16 17 21 25 22 17 18
Exceeded High   14 12 9 14 15 15 19 22 20 14 14
Scenario Percentage   88% 86% 60% 88% 94% 88% 90% 88% 91% 82% 78%
Avg Max Increase   9.20% 7.52% 10.11% 11.09% 9.41% 11.41% 10.63% 10.54% 9.02% 10.36% 6.73%
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 17 19 15 14 14 13
Avg Max Decline   -1.29% -1.55% -2.75% -1.97% -2.03% -3.58% -2.14% -3.51% -2.92% -2.42% -1.25%
Max Decline   -4.92% -7.41% -9.42% -8.41% -9.24% -10.57% -14.27% -11.02% -9.71% -7.11% -4.21%
Avg Days to Max Decline   9 6 15 6 8 9 10 9 9 6 4
2018 Contract Condition     Yes Yes Yes Yes Yes   Yes Yes   Yes
Action     Yes Yes 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   29 31 33 34 34 34 35 35 36 36 36
Closed Lower   13 17 18 18 18 17 14 10 14 19 18
Penetrated Low   7 15 17 15 13 9 7 6 8 14 10
Scenario Percentage   54% 88% 94% 83% 72% 53% 50% 60% 57% 74% 56%
Avg Max Decline   14.38% 11.04% 10.87% 15.27% 15.11% 15.04% 8.81% 10.57% 10.11% 11.53% 7.71%
Max Decline   43.39% 45.17% 38.13% 31.33% 38.92% 42.72% 28.07% 17.44% 21.18% 18.58% 16.28%
Avg Days To Max Decline   15 18 19 21 18 18 11 13 20 16 14
Avg Max Increase   -1.40% -2.34% -2.60% -1.54% -2.72% -3.37% -3.40% -3.10% -4.35% -1.49% -2.08%
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 8 11 7 5 14 8 14 4 3
2018 Contract Condition   Yes           Yes     Yes  
Action   No           No     Yes  
High 50.54 50.78 52.72 54.12 57.27 59.58 64.36 64.09 65.39 68.93 72.70 74.46
Low 46.51 47.58 49.59 50.23 53.42 55.25 59.21 56.49 58.69 61.43 65.72 63.40
Close/Last 50.52 49.91 51.82 53.90 56.17 59.42 63.02 60.14 64.04 68.17 66.91 74.15

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