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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, 2014
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   28 29 30 30 31 31 31 31 31 31 31
Closed Higher   14 15 18 23 21 15 15 21 17 17 15
Exceeded High   13 13 17 20 18 9 15 19 13 15 7
Scenario Percentage   93% 87% 94% 87% 86% 60% 100% 90% 76% 88% 47%
Avg Max Increase   10.25% 10.06% 10.19% 8.86% 7.57% 12.03% 9.94% 12.74% 12.96% 7.74% 7.51%
Max Increase   19.00% 24.64% 21.78% 20.39% 31.94% 19.60% 21.06% 75.72% 50.17% 22.54% 15.08%
Avg Days To Max Increase   19 12 17 15 15 19 17 18 17 11 12
Avg Max Decline   -1.70% -1.78% -1.11% -2.78% -2.26% -1.68% -2.53% -1.47% -2.40% -3.80% -1.59%
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   11 7 8 8 9 6 8 7 8 6 2
2013 Contract Condition   Yes Yes   Yes     Yes Yes Yes    
Action   Yes Yes   Yes     Yes Yes No    
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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   28 29 30 30 31 31 31 31 31 31 31
Closed Lower   14 14 12 7 10 16 16 9 14 14 16
Penetrated Low   10 7 6 4 5 10 11 7 8 12 12
Scenario Percentage   71% 50% 50% 57% 50% 63% 69% 78% 57% 86% 75%
Avg Max Decline   14.39% 14.22% 9.15% 9.31% 5.36% 8.47% 8.64% 12.50% 15.95% 12.98% 9.02%
Max Decline   32.91% 39.08% 27.46% 17.05% 8.21% 13.26% 20.93% 27.64% 47.30% 47.35% 22.15%
Avg Days To Max Decline   17 19 12 18 20 18 18 13 18 12 14
Avg Max Increase   -2.35% -2.34% -1.80% -2.97% -3.08% -1.19% -2.55% -4.18% -3.90% -1.75% -2.89%
Max Increase   -9.13% -6.26% -4.23% -7.36% -7.29% -5.62% -8.98% -16.88% -17.88% -6.16% -5.84%
Avg Days to Max Increase   9 4 9 6 9 3 10 12 15 4 4
2013 Contract Condition       Yes   Yes Yes       Yes Yes
Action       Yes   No No       Yes Yes
High 92.44 93.40 97.65 98.65 95.95 96.43 95.75 97.78 103.64 109.70 108.12 103.96
Low 88.01 88.71 92.53 92.09 90.17 85.52 88.78 90.69 93.94 99.65 100.64 95.95
Close/Last 91.85 93.37 97.45 92.52 95.89 92.11 91.28 94.38 101.65 105.71 101.90 96.38

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