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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 Jun 08, 2020
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   32 32 35 36 36 37 37 37 37 37 37
Closed Higher   14 15 17 22 26 25 17 18 23 20 20
Exceeded High   12 15 14 19 24 21 13 16 21 17 16
Scenario Percentage   86% 100% 82% 86% 92% 84% 76% 89% 91% 85% 80%
Avg Max Increase   8.53% 8.24% 10.36% 10.00% 9.01% 7.58% 9.67% 9.90% 13.00% 11.64% 5.59%
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   15 19 17 20 17 13 18 15 18 14 12
Avg Max Decline   -1.75% -1.82% -2.17% -1.97% -2.87% -2.22% -2.03% -2.72% -2.46% -3.77% -2.58%
Max Decline   -7.78% -7.26% -9.78% -13.57% -10.64% -6.56% -7.56% -14.99% -13.87% -14.66% -14.33%
Avg Days to Max Decline   6 9 8 10 9 9 6 8 8 9 3
2019 Contract Condition       Yes Yes Yes Yes   Yes Yes    
Action       Yes Yes Yes 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   32 32 35 36 36 37 37 37 37 37 37
Closed Lower   18 17 17 14 9 12 20 19 13 17 17
Penetrated Low   15 12 8 7 5 6 15 13 10 9 12
Scenario Percentage   83% 71% 47% 50% 56% 50% 75% 68% 77% 53% 71%
Avg Max Decline   13.76% 14.60% 13.81% 8.05% 10.13% 7.28% 9.04% 11.82% 12.96% 14.99% 8.32%
Max Decline   29.15% 34.08% 39.90% 27.37% 17.09% 15.18% 22.02% 36.28% 27.64% 40.81% 31.87%
Avg Days To Max Decline   19 17 20 10 15 20 17 17 14 13 10
Avg Max Increase   -1.00% -1.86% -1.99% -1.33% -3.36% -3.44% -1.23% -2.30% -2.99% -3.95% -1.37%
Max Increase   -7.37% -9.13% -5.88% -4.34% -7.73% -7.78% -5.78% -8.90% -16.89% -20.38% -4.83%
Avg Days to Max Increase   8 8 4 8 7 17 4 9 9 11 2
2019 Contract Condition   Yes Yes         Yes     Yes Yes
Action   Yes No         Yes     Not Yet Yes
High 73.52 65.54 55.66 56.28 59.85 61.03 65.23 63.55 59.59 60.77 58.04 63.89
Low 65.46 51.00 45.05 47.27 54.38 56.91 60.71 53.19 50.94 54.90 50.48 52.71
Close/Last 65.64 51.84 48.22 55.05 59.18 60.37 63.38 53.66 58.22 58.61 54.89 54.07

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