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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November Crude Oil(NYM) as of Jan 01, 2013
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   25 25 28 29 29 30 30 30 30 30 30
Closed Higher   11 11 14 18 21 21 15 14 20 16 17
Exceeded High   9 11 11 16 19 18 11 14 18 14 14
Scenario Percentage   82% 100% 79% 89% 90% 86% 73% 100% 90% 88% 82%
Avg Max Increase   8.06% 9.52% 11.79% 10.70% 8.89% 7.63% 10.43% 9.79% 13.93% 12.18% 5.49%
Max Increase   14.39% 19.47% 24.33% 22.99% 21.11% 30.62% 19.30% 21.00% 85.48% 52.07% 11.46%
Avg Days To Max Increase   13 20 17 20 16 14 18 14 17 15 12
Avg Max Decline   -1.74% -1.69% -1.64% -1.05% -2.88% -2.06% -2.11% -2.80% -1.51% -3.06% -2.86%
Max Decline   -7.78% -7.26% -4.05% -4.42% -10.64% -6.56% -7.56% -14.99% -10.88% -14.66% -14.33%
Avg Days to Max Decline   5 10 8 9 11 10 7 9 7 8 3
2012 Contract Condition   Yes   Yes Yes   Yes     Yes Yes  
Action   Yes   Yes No   No     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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   25 25 28 29 29 30 30 30 30 30 30
Closed Lower   14 14 13 11 7 9 15 16 9 14 13
Penetrated Low   11 10 7 6 4 5 11 11 6 8 9
Scenario Percentage   79% 71% 54% 55% 57% 56% 73% 69% 67% 57% 69%
Avg Max Decline   12.36% 14.11% 14.13% 8.13% 9.45% 5.70% 8.25% 8.97% 15.23% 14.86% 8.70%
Max Decline   25.88% 34.08% 39.90% 27.37% 17.09% 9.65% 14.13% 21.05% 27.64% 40.81% 31.87%
Avg Days To Max Decline   20 17 19 9 18 20 17 17 15 13 9
Avg Max Increase   -0.01% -2.03% -1.95% -0.83% -2.80% -3.27% -1.08% -2.58% -4.55% -4.45% -1.23%
Max Increase   -3.61% -9.13% -5.88% -2.24% -7.73% -7.78% -5.78% -8.90% -16.89% -20.38% -4.83%
Avg Days to Max Increase   8 9 4 4 6 15 3 10 13 12 2
2012 Contract Condition     Yes     Yes   Yes Yes     Yes
Action     No     Yes   Yes No     Yes
High 92.74 100.09 100.20 102.87 110.08 109.80 107.51 107.15 88.11 93.75 98.60 100.73
Low 78.88 88.39 93.19 99.29 98.42 104.69 103.29 87.10 78.73 83.34 87.58 88.95
Close/Last 91.96 98.40 98.33 100.24 107.97 105.05 105.86 87.68 86.21 88.72 96.76 92.19

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