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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 Dec 30, 2016
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   31 32 33 33 34 34 34 34 34 34 34
Closed Higher   15 15 20 25 23 17 16 21 19 18 16
Exceeded High   14 13 19 22 20 11 15 19 15 16 6
Scenario Percentage   93% 87% 95% 88% 87% 65% 94% 90% 79% 89% 38%
Avg Max Increase   9.76% 10.06% 9.55% 9.17% 7.55% 10.86% 9.94% 12.74% 12.23% 7.61% 6.24%
Max Increase   19.00% 24.64% 21.78% 20.39% 31.94% 19.60% 21.06% 75.72% 50.17% 22.54% 10.92%
Avg Days To Max Increase   19 12 18 17 15 18 17 18 17 11 11
Avg Max Decline   -2.01% -1.78% -1.86% -2.99% -2.39% -1.66% -2.53% -1.47% -3.24% -3.63% -1.49%
Max Decline   -7.77% -4.39% -13.40% -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 10 6 1
2016 Contract Condition         Yes Yes Yes     Yes Yes  
Action         Yes Yes Yes     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   31 32 33 33 34 34 34 34 34 34 34
Closed Lower   16 17 13 8 11 17 18 12 15 16 18
Penetrated Low   12 7 6 4 5 11 13 10 9 14 14
Scenario Percentage   75% 41% 46% 50% 45% 65% 72% 83% 60% 88% 78%
Avg Max Decline   14.92% 14.22% 9.15% 9.31% 5.36% 9.64% 11.41% 11.99% 15.98% 12.97% 8.13%
Max Decline   32.91% 39.08% 27.46% 17.05% 8.21% 21.30% 35.47% 27.64% 47.30% 45.47% 19.38%
Avg Days To Max Decline   18 19 12 18 20 19 17 13 18 11 13
Avg Max Increase   -2.44% -2.34% -1.80% -2.97% -3.08% -1.32% -2.26% -3.03% -3.47% -2.55% -2.59%
Max Increase   -9.13% -6.26% -4.23% -7.36% -7.29% -5.62% -8.98% -16.88% -17.88% -12.86% -5.84%
Avg Days to Max Increase   8 4 9 6 9 3 9 9 14 4 3
2016 Contract Condition   Yes Yes Yes       Yes Yes     Yes
Action   Yes No No       Yes Yes     Yes
High 53.66 49.03 45.05 42.06 45.06 48.98 51.76 53.62 51.75 50.59 49.02 52.22
Low 47.39 42.04 34.06 36.48 39.92 39.70 45.53 48.07 42.72 41.58 43.77 46.63
Close/Last 48.54 43.83 41.75 40.54 43.02 48.22 50.86 50.62 43.84 45.91 48.82 46.86

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