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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 Sep 16, 2022
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   17 28 28 28 31 31 31 32 33 33 33
Closed Higher   11 15 13 13 15 15 16 20 20 21 16
Exceeded High   10 12 11 9 13 14 15 19 18 19 12
Scenario Percentage   91% 80% 85% 69% 87% 93% 94% 95% 90% 90% 75%
Avg Max Increase   5.80% 10.00% 9.34% 8.00% 9.20% 12.40% 14.69% 12.53% 11.55% 9.07% 9.25%
Max Increase   10.49% 28.49% 19.59% 13.45% 17.55% 27.38% 46.93% 36.50% 25.31% 29.07% 16.09%
Avg Days To Max Increase   14 15 13 18 13 17 12 17 16 14 18
Avg Max Decline   -1.85% -1.37% -1.18% -1.80% -1.83% -1.95% -2.61% -2.46% -3.27% -2.78% -1.67%
Max Decline   -11.32% -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   8 6 5 10 6 6 5 8 8 7 4
2022 Contract Condition   Yes   Yes Yes   Yes Yes Yes Yes Yes Yes
Action   Yes   Yes No   Yes Yes Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   17 28 28 28 31 31 31 32 33 33 33
Closed Lower   6 13 15 15 16 16 15 12 13 12 17
Penetrated Low   5 8 13 13 13 10 7 5 7 6 12
Scenario Percentage   83% 62% 87% 87% 81% 63% 47% 42% 54% 50% 71%
Avg Max Decline   12.76% 13.51% 11.85% 13.77% 13.70% 12.69% 15.85% 17.55% 9.77% 13.98% 8.04%
Max Decline   25.96% 43.27% 45.40% 36.95% 37.65% 26.57% 47.25% 54.83% 30.37% 25.51% 14.22%
Avg Days To Max Decline   15 13 13 18 16 16 15 20 12 20 17
Avg Max Increase   1.59% -2.23% -1.14% -2.15% -2.08% -3.61% -3.33% -4.57% -4.96% -4.42% -1.67%
Max Increase   -0.82% -9.37% -6.99% -4.76% -10.66% -10.05% -6.85% -9.81% -23.36% -9.51% -3.62%
Avg Days to Max Increase   2 11 8 6 8 7 6 11 7 9 5
2022 Contract Condition     Yes     Yes            
Action     No     Yes            
High 69.51 70.60 69.00 73.57 80.02 78.97 77.42 85.74 95.94 124.42 111.92 120.80
Low 65.42 64.19 61.89 67.44 72.67 65.61 64.60 74.71 83.22 90.90 96.54 100.14
Close/Last 68.71 69.79 67.73 73.24 77.48 67.08 75.32 84.68 91.15 100.98 105.45 115.60

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