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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, 2016
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   26 29 30 32 32 32 33 33 33 33 33
Closed Higher   8 12 14 16 19 23 21 16 16 21 18
Exceeded High   5 10 14 14 18 21 18 11 14 19 11
Scenario Percentage   63% 83% 100% 88% 95% 91% 86% 69% 88% 90% 61%
Avg Max Increase   7.58% 8.21% 9.35% 9.79% 9.81% 8.52% 8.10% 10.95% 10.99% 12.59% 9.77%
Max Increase   11.14% 15.18% 19.73% 23.95% 23.22% 22.54% 30.51% 19.08% 21.40% 64.94% 28.11%
Avg Days To Max Increase   20 15 18 14 19 15 15 19 16 14 14
Avg Max Decline   -1.35% -2.09% -1.75% -1.75% -1.81% -2.94% -2.08% -2.32% -1.98% -1.54% -0.81%
Max Decline   -1.88% -8.05% -7.95% -4.34% -13.93% -10.86% -7.80% -8.52% -10.10% -11.56% -4.69%
Avg Days to Max Decline   6 6 10 7 10 11 8 7 8 4 3
2015 Contract Condition           Yes   Yes       Yes
Action           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   26 29 30 32 32 32 33 33 33 33 33
Closed Lower   17 17 16 15 13 9 12 17 17 12 15
Penetrated Low   14 15 11 8 7 5 6 12 12 8 7
Scenario Percentage   82% 88% 69% 53% 54% 56% 50% 71% 71% 67% 47%
Avg Max Decline   11.46% 12.28% 14.30% 13.97% 8.30% 8.37% 6.25% 10.36% 11.63% 12.57% 8.94%
Max Decline   36.38% 26.39% 35.26% 40.71% 27.42% 17.19% 11.56% 22.74% 37.19% 27.31% 21.61%
Avg Days To Max Decline   18 18 16 19 12 14 22 18 17 11 12
Avg Max Increase   -2.12% -1.55% -2.00% -3.15% -2.66% -2.35% -3.14% -1.60% -2.49% -1.77% -1.12%
Max Increase   -6.61% -11.57% -7.39% -9.81% -8.35% -6.97% -8.32% -5.26% -8.88% -4.90% -2.72%
Avg Days to Max Increase   8 9 9 4 10 1 12 4 11 6 2
2015 Contract Condition   Yes Yes Yes Yes   Yes   Yes Yes Yes  
Action   Yes Yes Yes Yes   No   Yes Yes Yes  
High 92.05 87.66 79.93 70.47 59.50 60.67 58.79 62.34 64.74 62.65 59.57 49.33
Low 87.10 78.24 67.78 56.93 50.60 54.08 50.54 52.98 57.32 57.80 47.10 37.75
Close/Last 87.16 80.14 67.78 58.13 55.25 58.72 53.45 62.21 60.96 60.10 47.53 49.20

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