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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August Brent Crude Oil(ICE) as of Apr 30, 2017
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   11 22 22 22 25 25 25 26 27 27 27
Closed Higher   8 11 9 10 11 10 12 16 17 17 12
Exceeded High   7 9 7 7 9 9 11 16 16 16 9
Scenario Percentage   88% 82% 78% 70% 82% 90% 92% 100% 94% 94% 75%
Avg Max Increase   5.85% 9.44% 10.09% 6.94% 6.84% 11.48% 11.93% 11.21% 11.22% 8.10% 8.46%
Max Increase   10.49% 28.49% 19.59% 12.62% 17.55% 21.87% 25.00% 29.20% 25.31% 29.07% 14.21%
Avg Days To Max Increase   11 15 15 15 13 18 11 17 15 12 16
Avg Max Decline   -0.57% -1.27% -1.22% -2.10% -2.10% -2.19% -2.35% -2.54% -3.46% -2.63% -1.67%
Max Decline   -7.71% -4.99% -4.53% -3.52% -8.39% -8.13% -10.75% -15.31% -10.48% -8.63% -4.63%
Avg Days to Max Decline   5 7 6 13 7 7 6 9 9 7 4
2017 Contract Condition     Yes Yes   Yes Yes   Yes      
Action     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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   11 22 22 22 25 25 25 26 27 27 27
Closed Lower   3 11 13 12 14 15 13 10 10 10 15
Penetrated Low   3 7 11 10 11 10 5 4 5 5 10
Scenario Percentage   100% 64% 85% 83% 79% 67% 38% 40% 50% 50% 67%
Avg Max Decline   16.45% 14.86% 12.45% 13.63% 14.56% 12.69% 10.63% 8.23% 5.01% 13.72% 7.98%
Max Decline   25.96% 43.27% 45.40% 36.95% 37.65% 26.57% 21.89% 14.91% 12.61% 25.51% 14.22%
Avg Days To Max Decline   23 15 15 19 16 16 14 20 11 20 18
Avg Max Increase   0.35% -1.21% -1.04% -2.32% -1.40% -3.61% -2.98% -3.84% -1.07% -4.32% -1.73%
Max Increase   -0.82% -8.52% -6.99% -4.76% -10.66% -10.05% -6.85% -9.81% -1.79% -9.51% -3.62%
Avg Days to Max Increase   3 10 8 7 8 7 4 14 8 6 5
2017 Contract Condition   Yes     Yes     Yes   Yes Yes Yes
Action   Yes     Yes     Yes   Not Yet Not Yet  
High 55.10 54.43 54.05 53.49 56.55 54.75 59.23 60.21 58.19 57.56 57.22 52.29
Low 50.67 47.32 46.26 48.71 51.76 48.09 53.85 55.69 55.41 50.55 51.37 51.56
Close/Last 53.46 47.87 50.07 53.39 51.95 54.33 58.82 56.54 57.10 53.98 52.37 51.86

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