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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Brent Crude Oil(ICE) as of Mar 31, 2017
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   11 22 22 22 25 25 25 25 26 27 27
Closed Higher   7 16 11 9 11 11 10 11 16 17 17
Exceeded High   6 15 9 8 6 9 9 11 16 16 15
Scenario Percentage   86% 94% 82% 89% 55% 82% 90% 100% 100% 94% 88%
Avg Max Increase   7.93% 8.43% 9.89% 9.15% 7.33% 7.13% 11.73% 12.43% 11.80% 11.93% 6.25%
Max Increase   17.79% 21.34% 28.84% 20.55% 13.03% 17.74% 22.29% 27.51% 30.75% 26.78% 21.66%
Avg Days To Max Increase   15 15 15 13 20 16 17 12 18 15 13
Avg Max Decline   -2.17% -0.11% -1.20% -1.39% -2.24% -2.36% -2.39% -2.49% -2.75% -3.72% -1.66%
Max Decline   -11.06% -7.84% -5.52% -4.92% -3.57% -8.71% -8.65% -11.14% -15.72% -11.90% -8.53%
Avg Days to Max Decline   8 8 10 5 9 8 12 6 9 9 4
2017 Contract Condition   Yes   Yes Yes   Yes Yes   Yes    
Action   No   Yes Yes   Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   11 22 22 22 25 25 25 25 26 27 27
Closed Lower   4 6 11 13 14 14 14 13 10 10 10
Penetrated Low   3 6 7 10 12 11 10 6 4 6 5
Scenario Percentage   75% 100% 64% 77% 86% 79% 71% 46% 40% 60% 50%
Avg Max Decline   13.59% 11.28% 15.27% 14.22% 13.70% 15.21% 13.06% 10.20% 9.04% 6.28% 8.21%
Max Decline   28.05% 26.29% 43.96% 46.81% 38.13% 38.33% 26.91% 23.70% 16.15% 12.45% 13.69%
Avg Days To Max Decline   11 22 15 15 19 15 16 8 20 10 21
Avg Max Increase   0.05% -1.35% -1.40% -1.31% -2.06% -1.34% -4.10% -2.48% -4.15% -0.94% -3.00%
Max Increase   -4.95% -9.00% -9.03% -8.68% -5.07% -11.24% -11.11% -6.98% -10.44% -1.80% -5.72%
Avg Days to Max Increase   8 17 10 9 8 7 10 3 14 7 3
2017 Contract Condition     Yes     Yes     Yes   Yes  
Action     Yes     Yes     Yes   Not Yet  
High 53.08 55.32 54.18 53.81 53.19 56.39 54.60 59.31 60.09 58.14 57.51  
Low 47.98 50.49 47.00 45.90 48.42 51.50 47.75 53.67 55.50 55.26 50.29  
Close/Last 52.66 53.22 47.53 49.81 53.15 51.67 54.15 58.70 56.42 57.01 53.79  

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