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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   27 28 29 29 30 30 30 30 30 30 30
Closed Higher   13 14 18 22 21 15 14 20 16 17 15
Exceeded High   12 12 17 19 18 9 14 18 13 15 6
Scenario Percentage   92% 86% 94% 86% 86% 60% 100% 90% 81% 88% 40%
Avg Max Increase   10.64% 10.80% 10.19% 9.30% 7.57% 12.03% 9.49% 13.01% 12.96% 7.31% 4.86%
Max Increase   19.00% 24.64% 21.78% 20.39% 31.94% 19.60% 21.06% 75.72% 50.17% 22.54% 8.84%
Avg Days To Max Increase   19 12 17 16 15 19 16 18 17 11 10
Avg Max Decline   -1.77% -1.83% -1.11% -2.88% -2.26% -1.68% -2.68% -1.44% -2.40% -3.80% -1.49%
Max Decline   -7.77% -4.39% -4.90% -10.42% -5.98% -6.66% -14.44% -10.31% -14.04% -14.87% -4.31%
Avg Days to Max Decline   12 7 8 9 9 6 9 7 8 6 1
2012 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   27 28 29 29 30 30 30 30 30 30 30
Closed Lower   14 14 11 7 9 15 16 9 14 13 15
Penetrated Low   10 7 5 4 5 10 11 7 8 11 9
Scenario Percentage   71% 50% 45% 57% 56% 67% 69% 78% 57% 85% 60%
Avg Max Decline   14.39% 14.22% 9.47% 9.31% 5.36% 8.47% 8.64% 12.50% 15.95% 12.46% 8.08%
Max Decline   32.91% 39.08% 27.46% 17.05% 8.21% 13.26% 20.93% 27.64% 47.30% 45.47% 19.38%
Avg Days To Max Decline   17 19 11 18 20 18 18 13 18 12 11
Avg Max Increase   -2.35% -2.34% -1.32% -2.97% -3.08% -1.19% -2.55% -4.18% -3.90% -1.73% -3.19%
Max Increase   -9.13% -6.26% -2.66% -7.36% -7.29% -5.62% -8.98% -16.88% -17.88% -6.16% -5.84%
Avg Days to Max Increase   9 4 5 6 9 3 10 12 15 4 3
2012 Contract Condition         Yes   Yes Yes     Yes Yes
Action         Yes   Yes No     Yes Yes
High 100.62 100.67 103.14 109.91 110.25 107.68 107.29 88.47 94.08 98.94 101.01 94.02
Low 87.74 92.55 98.75 98.12 104.38 103.25 87.29 79.12 83.79 88.05 89.30 84.66
Close/Last 98.07 98.11 100.28 107.86 105.23 105.93 87.91 86.67 89.20 97.07 92.56 86.24

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