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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, 2019
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   30 32 33 33 35 35 35 36 36 36 36
Closed Higher   14 14 15 16 18 20 25 23 16 18 22
Exceeded High   12 8 13 16 17 18 23 20 13 16 19
Scenario Percentage   86% 57% 87% 100% 94% 90% 92% 87% 81% 89% 86%
Avg Max Increase   7.30% 8.74% 9.90% 8.91% 9.99% 10.24% 9.69% 8.62% 10.26% 9.50% 8.29%
Max Increase   21.09% 14.18% 17.87% 20.30% 24.34% 25.29% 23.85% 29.55% 18.59% 16.41% 41.37%
Avg Days To Max Increase   14 24 15 18 17 18 15 14 19 10 11
Avg Max Decline   -1.22% -2.70% -1.85% -2.21% -3.23% -1.88% -3.27% -2.64% -2.89% -2.42% -0.94%
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 14 6 9 9 10 10 9 9 11 1
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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   30 32 33 33 35 35 35 36 36 36 36
Closed Lower   16 18 18 17 17 15 10 13 20 18 14
Penetrated Low   13 15 16 12 9 7 6 7 14 12 10
Scenario Percentage   81% 83% 89% 71% 53% 47% 60% 54% 70% 67% 71%
Avg Max Decline   11.54% 11.61% 13.86% 15.71% 14.47% 8.54% 9.71% 8.01% 11.49% 12.44% 8.35%
Max Decline   44.61% 37.24% 30.56% 37.89% 41.53% 27.40% 17.35% 15.60% 23.21% 32.79% 20.89%
Avg Days To Max Decline   20 20 18 17 18 12 16 22 18 14 11
Avg Max Increase   -1.41% -2.56% -1.77% -2.48% -3.10% -3.04% -3.26% -3.78% -1.34% -2.25% -1.65%
Max Increase   -8.96% -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 7 9 5 11 3 14 5 8 2
2018 Contract Condition             Yes     Yes   Yes
Action             No     Yes   Yes
High 50.28 52.54 53.95 56.86 59.23 63.81 63.49 64.80 68.44 72.21 72.80 72.98
Low 47.64 49.52 50.12 53.14 54.96 58.90 56.22 58.19 61.00 65.40 62.99 66.29
Close/Last 49.95 51.73 53.66 55.86 59.07 62.49 59.58 63.48 67.68 66.54 72.46 68.76

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