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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Brent Crude Oil(ICE) as of Jan 01, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   21 21 21 23 24 24 25 25 26 26 26
Closed Higher   14 15 10 10 9 12 11 13 17 15 17
Exceeded High   13 13 8 9 6 10 10 12 16 13 13
Scenario Percentage   93% 87% 80% 90% 67% 83% 91% 92% 94% 87% 76%
Avg Max Increase   10.05% 8.51% 11.59% 8.68% 7.04% 9.06% 11.81% 12.65% 12.47% 9.93% 5.85%
Max Increase   25.53% 16.40% 29.40% 20.85% 14.23% 23.40% 23.61% 30.09% 31.91% 16.79% 16.24%
Avg Days To Max Increase   18 18 18 14 17 16 19 14 16 8 8
Avg Max Decline   -1.69% -0.93% -1.54% -1.72% -2.32% -2.62% -3.73% -2.49% -2.98% -1.23% -0.98%
Max Decline   -12.64% -8.19% -6.48% -7.38% -3.68% -9.05% -13.99% -11.97% -16.18% -7.52% -3.16%
Avg Days to Max Decline   6 7 12 6 5 8 10 6 9 4 2
2015 Contract Condition   Yes               Yes   Yes
Action   No               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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   21 21 21 23 24 24 25 25 26 26 26
Closed Lower   7 6 11 13 15 12 14 12 9 11 9
Penetrated Low   5 5 8 11 12 9 9 7 4 6 3
Scenario Percentage   71% 83% 73% 85% 80% 75% 64% 58% 44% 55% 33%
Avg Max Decline   7.08% 11.12% 14.23% 14.28% 14.40% 15.04% 12.06% 11.58% 9.88% 8.61% 6.73%
Max Decline   12.92% 26.73% 44.80% 47.72% 39.33% 31.12% 23.45% 25.33% 17.04% 14.25% 7.89%
Avg Days To Max Decline   16 25 14 15 19 18 15 10 20 9 11
Avg Max Increase   -1.19% -3.27% -2.42% -0.61% -2.58% -1.25% -4.55% -2.35% -4.06% -1.14% -1.98%
Max Increase   -5.45% -10.80% -10.12% -2.84% -5.87% -11.77% -11.85% -7.09% -10.78% -1.66% -3.88%
Avg Days to Max Increase   8 21 13 4 8 9 11 4 19 1 1
2015 Contract Condition     Yes Yes Yes Yes Yes Yes Yes   Yes  
Action     Yes Yes Yes Yes Yes Yes No   Not Yet  
High 104.92 109.76 108.57 106.73 104.50 98.41 89.17 75.46 62.31 64.42 63.83 66.93
Low 101.26 103.12 105.34 102.97 96.87 85.75 72.35 59.43 50.10 54.42 53.63 55.12
Close/Last 103.89 108.08 105.93 104.35 97.26 88.64 72.74 61.21 56.05 63.98 56.21 66.78

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