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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Brent Crude Oil(ICE) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   20 20 20 23 23 23 25 25 25 25 25
Closed Higher   9 9 12 10 13 14 16 16 11 13 18
Exceeded High   8 7 10 9 10 14 15 15 9 12 14
Scenario Percentage   89% 78% 83% 90% 77% 100% 94% 94% 82% 92% 78%
Avg Max Increase   8.59% 6.59% 7.03% 11.30% 12.66% 11.40% 9.92% 10.23% 10.41% 10.15% 9.57%
Max Increase   19.43% 11.95% 17.34% 21.37% 24.34% 27.55% 24.51% 37.42% 16.11% 20.00% 45.51%
Avg Days To Max Increase   14 13 13 19 13 16 14 16 22 11 8
Avg Max Decline   -0.92% -1.64% -1.86% -2.02% -2.36% -1.61% -2.91% -1.91% -2.93% -3.39% -0.71%
Max Decline   -3.75% -3.54% -8.81% -7.13% -10.38% -4.11% -9.71% -7.21% -7.60% -14.88% -3.11%
Avg Days to Max Decline   5 7 7 7 6 8 9 7 9 9 2
2014 Contract Condition     Yes Yes Yes   Yes     Yes Yes  
Action     Yes Yes No   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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   20 20 20 23 23 23 25 25 25 25 25
Closed Lower   11 11 8 13 10 9 9 9 14 12 7
Penetrated Low   9 10 4 8 4 4 5 5 9 7 3
Scenario Percentage   82% 91% 50% 62% 40% 44% 56% 56% 64% 58% 43%
Avg Max Decline   11.05% 10.08% 16.32% 9.96% 10.73% 7.93% 5.26% 12.12% 9.62% 8.77% 8.84%
Max Decline   44.60% 36.28% 26.36% 24.04% 20.26% 13.85% 9.28% 24.86% 17.45% 16.79% 11.76%
Avg Days To Max Decline   11 17 19 16 11 20 8 20 16 14 12
Avg Max Increase   0.13% -2.69% 2.58% -3.79% -2.36% -3.46% -0.52% -3.88% -1.46% -1.94% -1.25%
Max Increase   -2.29% -6.26% -0.08% -7.84% -6.72% -9.39% -1.21% -8.73% -3.50% -7.11% -3.19%
Avg Days to Max Increase   7 9 1 9 4 14 1 6 7 9 4
2014 Contract Condition   Yes       Yes   Yes Yes     Yes
Action   Yes       Yes   Yes No     Yes
High 105.48 104.82 105.52 108.41 109.67 108.30 108.46 109.64 109.08 109.34 115.09 112.54
Low 99.80 101.35 101.10 101.72 105.77 103.13 102.75 104.07 103.11 105.16 106.44 105.41
Close/Last 103.82 101.85 104.76 107.17 107.87 103.61 106.93 106.43 106.30 107.94 112.07 106.02

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