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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 21, 2022
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   23 27 27 27 29 30 30 31 31 32 32
Closed Higher   10 18 17 14 13 12 16 15 16 20 18
Exceeded High   10 16 15 10 12 8 14 14 15 17 16
Scenario Percentage   100% 89% 88% 71% 92% 67% 88% 93% 94% 85% 89%
Avg Max Increase   8.86% 9.32% 8.27% 11.77% 8.55% 8.37% 10.85% 11.67% 13.11% 12.52% 9.32%
Max Increase   17.73% 25.53% 16.40% 29.40% 20.85% 14.55% 23.40% 28.07% 30.09% 31.91% 20.26%
Avg Days To Max Increase   17 19 19 16 12 20 15 18 14 15 18
Avg Max Decline   -1.61% -2.04% -1.24% -1.80% -1.62% -1.96% -2.26% -3.16% -2.77% -2.87% -1.69%
Max Decline   -5.67% -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   8 6 8 10 5 4 6 8 6 7 2
2021 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   23 27 27 27 29 30 30 31 31 32 32
Closed Lower   13 9 10 13 16 18 14 16 15 12 14
Penetrated Low   7 6 8 9 14 15 11 10 9 5 7
Scenario Percentage   54% 67% 80% 69% 88% 83% 79% 63% 60% 42% 50%
Avg Max Decline   8.03% 10.79% 11.14% 13.12% 13.25% 14.46% 17.19% 13.57% 16.35% 21.46% 13.00%
Max Decline   17.56% 29.33% 26.73% 44.80% 47.72% 39.33% 38.98% 27.20% 55.01% 67.78% 39.35%
Avg Days To Max Decline   17 17 20 13 13 18 18 16 13 20 11
Avg Max Increase   -0.98% -0.90% -2.05% -4.03% -1.39% -2.39% -1.77% -4.46% -2.79% -4.90% -6.42%
Max Increase   -2.55% -5.45% -10.80% -16.88% -8.96% -5.87% -11.77% -11.85% -7.09% -10.78% -38.14%
Avg Days to Max Increase   5 7 13 13 4 6 8 10 5 16 2
2021 Contract Condition           Yes Yes         Yes
Action           Yes Yes         Not Yet
High 44.67 41.96 45.33 46.74 48.60 48.32 45.39 48.97 52.34 56.80 66.16 70.67
Low 32.64 34.50 40.12 42.68 45.48 42.58 39.23 38.22 46.92 50.62 54.15 60.33
Close/Last 36.38 41.76 43.06 45.81 47.47 44.39 40.04 48.14 51.66 54.55 63.73 62.74

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