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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 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   31 33 34 34 36 36 36 37 37 37 37
Closed Higher   15 14 15 16 19 21 26 24 16 19 23
Exceeded High   13 8 13 16 18 19 24 20 13 17 19
Scenario Percentage   87% 57% 87% 100% 95% 90% 92% 83% 81% 89% 83%
Avg Max Increase   7.13% 8.74% 9.90% 8.91% 10.04% 10.31% 9.65% 8.62% 10.26% 9.11% 8.05%
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   13 24 15 18 17 18 15 14 19 9 9
Avg Max Decline   -1.12% -2.70% -1.85% -2.21% -3.18% -2.02% -3.13% -2.64% -2.89% -2.52% -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   4 14 6 9 9 10 9 9 9 11 1
2019 Contract Condition   Yes       Yes Yes Yes Yes   Yes Yes
Action   Yes       Yes Yes Yes No   Yes Not Yet
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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   31 33 34 34 36 36 36 37 37 37 37
Closed Lower   16 19 19 18 17 15 10 13 21 18 14
Penetrated Low   13 16 17 12 9 7 6 7 15 12 10
Scenario Percentage   81% 84% 89% 67% 53% 47% 60% 54% 71% 67% 71%
Avg Max Decline   11.54% 12.90% 13.85% 15.71% 14.47% 8.54% 9.71% 8.01% 11.07% 12.41% 8.31%
Max Decline   44.61% 37.24% 30.56% 37.89% 41.53% 27.40% 17.35% 15.60% 23.21% 32.48% 20.89%
Avg Days To Max Decline   20 20 19 17 18 12 16 22 17 14 11
Avg Max Increase   -1.41% -2.40% -2.13% -2.48% -3.10% -3.04% -3.26% -3.78% -1.38% -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 8 7 9 5 11 3 14 4 8 2
2019 Contract Condition     Yes Yes Yes         Yes    
Action     Yes Yes No         Yes    
High 66.63 71.16 74.44 65.95 55.80 56.44 59.71 61.10 65.92 64.02 59.95 61.02
Low 61.07 64.54 65.58 50.84 44.66 46.85 53.92 56.46 60.61 53.27 50.91 54.85
Close/Last 66.25 70.82 65.91 51.76 47.84 55.12 59.06 60.53 63.84 53.73 58.52 58.58

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