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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, 2015
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   29 30 31 31 32 32 32 32 32 32 32
Closed Higher   15 15 19 24 21 16 16 21 17 17 15
Exceeded High   14 13 18 21 18 10 15 19 13 15 7
Scenario Percentage   93% 87% 95% 88% 86% 63% 94% 90% 76% 88% 47%
Avg Max Increase   9.76% 10.06% 9.78% 8.64% 7.57% 11.40% 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 16 15 19 17 18 17 11 12
Avg Max Decline   -2.01% -1.78% -1.21% -2.76% -2.26% -1.58% -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 9 8 9 6 8 7 8 6 2
2014 Contract Condition   Yes   Yes Yes   Yes Yes        
Action   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   29 30 31 31 32 32 32 32 32 32 32
Closed Lower   14 15 12 7 11 16 16 10 15 15 17
Penetrated Low   10 7 6 4 5 10 11 8 9 13 13
Scenario Percentage   71% 47% 50% 57% 45% 63% 69% 80% 60% 87% 76%
Avg Max Decline   14.39% 14.22% 9.15% 9.31% 5.36% 8.47% 8.64% 11.86% 15.98% 13.43% 9.03%
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% -3.76% -3.47% -1.76% -2.71%
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 11 14 4 3
2014 Contract Condition     Yes     Yes     Yes Yes Yes Yes
Action     No     No     Yes Yes Yes Yes
High 92.34 93.40 93.18 95.83 96.86 97.85 99.31 103.66 102.71 96.98 94.42 91.95
Low 89.97 90.68 87.18 89.12 92.25 93.05 93.98 97.38 95.58 91.66 89.13 79.10
Close/Last 90.83 92.72 89.92 95.17 95.33 94.93 98.05 102.18 96.21 94.37 90.27 80.54

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