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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Crude Oil(NYM) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   24 27 28 30 30 30 31 31 31 31 31
Closed Higher   8 12 13 16 17 22 20 15 15 21 17
Exceeded High   5 10 13 14 16 20 17 10 14 19 11
Scenario Percentage   63% 83% 100% 88% 94% 91% 85% 67% 93% 90% 65%
Avg Max Increase   7.58% 8.21% 9.77% 9.79% 10.46% 8.73% 8.34% 11.49% 10.99% 12.11% 9.05%
Max Increase   11.14% 15.18% 19.73% 23.95% 23.22% 22.54% 30.51% 19.08% 21.40% 59.28% 23.72%
Avg Days To Max Increase   20 15 17 14 18 15 15 19 16 13 12
Avg Max Decline   -1.35% -2.09% -1.45% -1.75% -0.96% -2.96% -2.11% -2.46% -1.98% -1.54% -0.56%
Max Decline   -1.88% -8.05% -7.95% -4.34% -5.04% -10.86% -7.80% -8.52% -10.10% -11.56% -4.69%
Avg Days to Max Decline   6 6 10 7 9 11 9 8 8 4 3
2013 Contract Condition     Yes Yes Yes   Yes     Yes Yes Yes
Action     Yes Yes Yes   Yes     Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   24 27 28 30 30 30 31 31 31 31 31
Closed Lower   15 15 15 13 13 8 11 16 16 10 14
Penetrated Low   12 13 10 7 7 5 6 11 11 6 6
Scenario Percentage   80% 87% 67% 54% 54% 63% 55% 69% 69% 60% 43%
Avg Max Decline   10.80% 11.97% 14.43% 14.75% 8.30% 8.37% 6.25% 9.23% 9.30% 12.15% 9.10%
Max Decline   36.38% 26.39% 35.26% 40.71% 27.42% 17.19% 11.56% 15.23% 21.09% 27.31% 21.61%
Avg Days To Max Decline   19 19 17 19 12 14 22 17 16 9 12
Avg Max Increase   -2.54% -1.22% -1.96% -2.20% -2.66% -2.35% -3.14% -1.50% -2.80% -2.35% -1.31%
Max Increase   -6.61% -11.57% -7.39% -5.68% -8.35% -6.97% -8.32% -5.26% -8.88% -4.90% -2.72%
Avg Days to Max Increase   9 9 9 4 10 1 12 4 11 6 2
2013 Contract Condition   Yes       Yes   Yes Yes      
Action   No       Yes   No No      
High 98.69 94.81 92.07 93.60 98.33 99.44 96.91 97.26 96.83 98.93 107.05 112.24
Low 90.79 88.15 88.22 88.78 93.05 92.67 90.65 86.04 89.65 91.54 95.36 101.82
Close/Last 93.62 89.48 91.81 93.60 98.31 93.03 96.88 93.00 92.12 95.81 104.22 107.65

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