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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April Brent Crude Oil(ICE) as of Jan 01, 2018
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   12 22 23 23 25 26 26 27 28 28 28
Closed Higher   9 15 10 15 15 15 14 11 14 14 14
Exceeded High   8 12 9 13 15 11 11 7 13 13 11
Scenario Percentage   89% 80% 90% 87% 100% 73% 79% 64% 93% 93% 79%
Avg Max Increase   9.60% 9.88% 9.07% 10.49% 8.47% 11.02% 9.03% 7.85% 9.57% 12.02% 8.79%
Max Increase   18.62% 32.37% 17.73% 26.05% 19.09% 29.92% 21.56% 15.12% 23.87% 26.35% 18.46%
Avg Days To Max Increase   15 12 17 18 17 18 13 18 15 17 18
Avg Max Decline   -0.32% -0.76% -1.06% -1.91% -0.99% -1.83% -1.65% -2.08% -2.63% -4.53% -2.07%
Max Decline   -6.95% -5.27% -3.56% -12.99% -8.42% -8.52% -8.77% -4.02% -9.20% -17.83% -6.96%
Avg Days to Max Decline   6 6 9 5 6 6 5 7 6 12 4
2017 Contract Condition   Yes Yes Yes Yes   Yes Yes   Yes Yes  
Action   Yes Yes Yes No   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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   12 22 23 23 25 26 26 27 28 28 28
Closed Lower   3 7 13 8 9 11 12 16 14 14 14
Penetrated Low   1 3 9 6 8 9 10 14 11 10 6
Scenario Percentage   33% 43% 69% 75% 89% 82% 83% 88% 79% 71% 43%
Avg Max Decline   2.20% 9.27% 7.43% 11.17% 10.39% 12.97% 14.86% 16.13% 19.71% 14.68% 11.89%
Max Decline   2.20% 20.66% 18.43% 30.53% 27.27% 45.74% 49.60% 42.24% 40.21% 27.77% 17.78%
Avg Days To Max Decline   3 19 16 16 18 20 15 18 17 15 16
Avg Max Increase   0.23% -2.95% -1.19% -0.95% -2.82% -2.97% -1.74% -2.63% -2.99% -5.13% -3.26%
Max Increase   0.23% -5.85% -3.72% -5.52% -12.39% -12.21% -9.45% -9.01% -14.34% -14.29% -7.51%
Avg Days to Max Increase   1 7 8 7 16 14 7 7 12 7 5
2017 Contract Condition           Yes     Yes     Yes
Action           Yes     Yes     Not Yet
High 42.45 46.60 50.11 52.74 54.64 53.75 53.31 52.25 55.63 53.58 58.78 59.02
Low 38.18 42.16 41.65 47.09 49.68 45.43 44.40 47.34 50.29 46.22 52.72 54.20
Close/Last 42.45 44.76 49.71 52.08 52.39 46.41 48.88 52.14 50.47 53.08 57.49 55.58

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