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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, 2018
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   19 23 23 23 25 26 26 27 27 28 28
Closed Higher   8 15 15 12 11 10 13 12 13 18 16
Exceeded High   8 13 13 9 10 6 11 11 12 15 14
Scenario Percentage   100% 87% 87% 75% 91% 60% 85% 92% 92% 83% 88%
Avg Max Increase   9.15% 10.05% 8.51% 11.80% 8.45% 7.04% 9.25% 10.96% 12.65% 12.30% 8.70%
Max Increase   17.73% 25.53% 16.40% 29.40% 20.85% 14.23% 23.40% 23.61% 30.09% 31.91% 17.65%
Avg Days To Max Increase   17 18 18 17 13 17 15 17 14 13 13
Avg Max Decline   -0.81% -1.69% -0.93% -1.70% -1.61% -2.32% -2.45% -3.61% -2.49% -2.83% -1.66%
Max Decline   -2.68% -12.64% -8.19% -6.48% -7.38% -3.68% -9.05% -13.99% -11.97% -16.18% -7.59%
Avg Days to Max Decline   6 6 7 11 5 5 7 10 6 8 2
2017 Contract Condition   Yes Yes   Yes Yes   Yes Yes   Yes  
Action   Yes No   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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   19 23 23 23 25 26 26 27 27 28 28
Closed Lower   11 8 8 11 14 16 13 15 14 10 12
Penetrated Low   5 6 7 8 12 13 10 10 8 4 6
Scenario Percentage   45% 75% 88% 73% 86% 81% 77% 67% 57% 40% 50%
Avg Max Decline   8.50% 10.79% 11.00% 14.23% 13.96% 13.89% 17.43% 13.57% 11.51% 9.88% 8.43%
Max Decline   17.56% 29.33% 26.73% 44.80% 47.72% 39.33% 38.98% 27.20% 25.33% 17.04% 14.25%
Avg Days To Max Decline   19 17 22 14 15 19 18 16 11 20 5
Avg Max Increase   -0.82% -0.90% -2.41% -2.42% -1.30% -2.48% -1.21% -4.46% -2.45% -4.06% -1.14%
Max Increase   -2.55% -5.45% -10.80% -10.12% -8.96% -5.87% -11.77% -11.85% -7.09% -10.78% -1.66%
Avg Days to Max Increase   6 7 15 13 4 7 8 10 4 19 1
2017 Contract Condition       Yes     Yes     Yes   Yes
Action       Yes     Yes     Yes   Not Yet
High 50.89 53.29 54.98 54.30 53.82 52.90 56.19 54.36 59.26 59.89 57.99 57.35
Low 41.93 47.50 50.10 46.18 45.19 48.02 51.14 47.32 53.44 55.17 55.05 50.00
Close/Last 50.10 52.46 52.94 47.17 49.52 52.85 51.33 53.88 58.44 56.21 56.84 53.53

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