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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   27 29 30 30 32 32 32 33 33 33 33
Closed Higher   12 12 13 14 17 19 23 21 15 17 21
Exceeded High   10 7 11 14 16 18 21 18 12 15 18
Scenario Percentage   83% 58% 85% 100% 94% 95% 91% 86% 80% 88% 86%
Avg Max Increase   7.20% 8.51% 9.51% 9.44% 10.38% 10.24% 8.93% 8.55% 10.64% 9.99% 8.46%
Max Increase   21.09% 14.18% 17.87% 20.30% 24.34% 25.29% 23.85% 29.55% 18.59% 16.41% 40.41%
Avg Days To Max Increase   14 23 15 19 17 18 14 14 20 9 10
Avg Max Decline   -1.13% -2.95% -1.99% -2.36% -2.81% -1.88% -3.03% -2.20% -2.92% -2.35% -0.79%
Max Decline   -5.19% -9.17% -7.94% -8.33% -10.21% -14.19% -11.27% -8.44% -9.48% -12.43% -3.77%
Avg Days to Max Decline   5 16 6 10 9 10 10 7 9 12 1
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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   27 29 30 30 32 32 32 33 33 33 33
Closed Lower   15 17 17 16 15 13 9 12 18 16 12
Penetrated Low   12 14 15 11 8 7 5 6 12 11 8
Scenario Percentage   80% 82% 88% 69% 53% 54% 56% 50% 67% 69% 67%
Avg Max Decline   11.94% 11.96% 12.74% 15.09% 14.80% 8.54% 8.92% 6.75% 11.85% 11.72% 8.87%
Max Decline   44.61% 37.24% 26.93% 37.89% 41.53% 27.40% 17.35% 13.57% 23.21% 32.48% 20.89%
Avg Days To Max Decline   21 20 18 17 17 12 19 22 17 15 11
Avg Max Increase   -0.78% -2.68% -1.86% -2.44% -3.18% -3.04% -2.78% -3.65% -1.39% -2.26% -1.77%
Max Increase   -4.17% -6.84% -11.90% -9.95% -10.20% -10.12% -8.52% -9.34% -3.66% -7.70% -4.10%
Avg Days to Max Increase   10 9 8 9 5 11 1 12 5 8 2
2015 Contract Condition   Yes Yes Yes Yes Yes   Yes   Yes Yes Yes
Action   Yes Yes Yes Yes Yes   No   Yes Yes Yes
High 93.38 92.27 88.05 80.57 70.34 58.62 59.95 58.18 61.93 64.45 62.51 59.35
Low 90.76 87.18 77.57 67.25 56.32 49.90 53.27 49.69 52.13 57.09 57.54 46.68
Close/Last 92.31 87.26 80.13 67.59 57.50 54.40 57.91 52.69 61.78 60.79 59.83 47.12

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