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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 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   30 32 34 35 35 35 36 36 37 37 37
Closed Higher   17 15 15 16 16 18 22 26 23 17 19
Exceeded High   15 13 9 14 15 16 20 23 20 14 15
Scenario Percentage   88% 87% 60% 88% 94% 89% 91% 88% 87% 82% 79%
Avg Max Increase   9.42% 7.34% 10.11% 11.09% 9.41% 11.38% 10.73% 10.50% 9.02% 10.37% 6.58%
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   15 14 24 16 19 18 19 15 14 15 13
Avg Max Decline   -1.38% -1.42% -2.75% -1.97% -2.03% -3.50% -2.25% -3.35% -2.92% -3.19% -1.44%
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   9 6 15 6 8 9 10 8 9 8 4
2019 Contract Condition   Yes Yes       Yes Yes Yes Yes   Yes
Action   Yes Yes       Yes Yes Yes No   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   30 32 34 35 35 35 36 36 37 37 37
Closed Lower   13 17 19 19 19 17 14 10 14 20 18
Penetrated Low   7 15 18 16 13 9 7 6 8 15 10
Scenario Percentage   54% 88% 95% 84% 68% 53% 50% 60% 57% 75% 56%
Avg Max Decline   14.38% 11.04% 12.08% 15.19% 15.11% 15.04% 8.81% 10.57% 10.11% 11.15% 7.93%
Max Decline   43.39% 45.17% 38.13% 31.33% 38.92% 42.72% 28.07% 17.44% 21.18% 18.58% 16.31%
Avg Days To Max Decline   15 18 19 21 18 18 11 13 20 15 15
Avg Max Increase   -1.40% -2.34% -2.46% -1.93% -2.72% -3.37% -3.40% -3.10% -4.35% -1.53% -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
2019 Contract Condition       Yes Yes Yes         Yes  
Action       Yes Yes No         Yes  
High 66.00 66.93 71.52 74.86 66.01 55.75 56.40 59.52 61.07 66.22 64.03 59.93
Low 61.95 61.86 64.81 65.85 50.76 44.46 46.60 53.76 56.21 60.64 53.19 50.79
Close/Last 64.44 66.57 71.16 66.01 51.71 47.60 55.04 58.83 60.49 63.97 53.64 58.47

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