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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Brent Crude Oil(ICE) as of Sep 30, 2017
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   11 22 22 22 25 25 25 27 27 27 28
Closed Higher   4 10 14 16 17 11 14 18 16 14 14
Exceeded High   3 9 14 15 15 10 12 17 12 11 7
Scenario Percentage   75% 90% 100% 94% 88% 91% 86% 94% 75% 79% 50%
Avg Max Increase   12.53% 11.62% 10.16% 9.72% 9.93% 9.03% 10.63% 14.06% 16.18% 9.17% 6.30%
Max Increase   16.45% 25.18% 22.49% 21.59% 33.70% 17.40% 18.83% 79.27% 47.85% 22.95% 11.63%
Avg Days To Max Increase   18 13 20 17 15 18 19 19 16 14 17
Avg Max Decline   -1.67% -1.92% -2.17% -2.98% -1.71% -1.58% -2.33% -1.41% -1.95% -3.90% -2.13%
Max Decline   -6.27% -9.46% -13.58% -9.03% -6.16% -4.35% -14.00% -9.60% -12.35% -11.87% -5.06%
Avg Days to Max Decline   11 4 12 7 7 6 9 6 7 6 4
2018 Contract Condition   Yes   Yes         Yes   Yes  
Action   No   No         Yes   Not Yet  
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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   11 22 22 22 25 25 25 27 27 27 28
Closed Lower   7 12 8 6 8 14 11 9 11 13 14
Penetrated Low   5 5 3 3 4 8 8 7 9 10 11
Scenario Percentage   71% 42% 38% 50% 50% 57% 73% 78% 82% 77% 79%
Avg Max Decline   17.74% 7.28% 6.83% 3.41% 9.64% 10.10% 10.39% 13.06% 14.22% 16.61% 12.97%
Max Decline   24.71% 15.91% 10.97% 6.28% 22.43% 20.32% 32.60% 28.31% 48.27% 52.96% 29.41%
Avg Days To Max Decline   14 10 15 11 18 20 15 19 20 15 20
Avg Max Increase   -1.39% -0.95% -2.93% -0.23% -3.09% -1.37% -0.68% -4.47% -3.11% -2.16% -2.54%
Max Increase   -4.66% -5.47% -6.17% -1.14% -7.20% -3.31% -5.68% -23.15% -14.60% -10.46% -6.30%
Avg Days to Max Increase   4 2 19 6 6 6 6 12 12 5 4
2018 Contract Condition     Yes   Yes Yes Yes Yes   Yes   Yes
Action     Yes   Yes Yes Yes No   Not Yet    
High 55.33 59.05 58.89 57.71 57.17 57.38 55.35 52.47 53.31 53.42 58.44 56.55
Low 50.01 54.55 55.94 55.62 51.14 52.11 47.93 45.83 47.33 49.82 52.09 55.31
Close/Last 54.88 58.67 56.48 56.79 54.18 53.05 51.81 49.85 53.12 52.91 56.59 55.89

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