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