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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 Dec 27, 2023
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   25 29 29 29 32 32 32 34 34 34 34
Closed Higher   14 13 14 17 15 18 19 20 23 16 18
Exceeded High   12 12 10 14 14 14 18 18 20 13 14
Scenario Percentage   86% 92% 71% 82% 93% 78% 95% 90% 87% 81% 78%
Avg Max Increase   8.58% 8.44% 7.57% 9.04% 12.15% 15.17% 12.18% 11.09% 10.51% 10.64% 7.68%
Max Increase   28.15% 19.43% 12.89% 17.34% 26.64% 44.54% 35.06% 24.51% 37.42% 17.61% 14.00%
Avg Days To Max Increase   14 12 15 12 18 14 16 16 15 19 17
Avg Max Decline   -1.47% -0.67% -1.30% -1.69% -1.82% -2.63% -2.42% -3.07% -2.38% -2.56% -1.49%
Max Decline   -4.60% -3.75% -3.54% -8.81% -7.13% -10.38% -14.85% -9.71% -7.61% -7.60% -4.09%
Avg Days to Max Decline   7 4 5 6 6 5 8 8 7 7 4
2023 Contract Condition       Yes Yes   Yes     Yes   Yes
Action       Yes No   No     No   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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   25 29 29 29 32 32 32 34 34 34 34
Closed Lower   11 16 15 12 17 14 13 14 11 18 16
Penetrated Low   8 13 14 8 10 6 6 7 6 12 9
Scenario Percentage   73% 81% 93% 67% 59% 43% 46% 50% 55% 67% 56%
Avg Max Decline   14.28% 11.42% 12.45% 18.54% 12.23% 16.36% 16.13% 9.63% 12.64% 10.44% 10.04%
Max Decline   41.98% 44.60% 36.28% 37.04% 26.30% 44.96% 51.03% 28.48% 24.86% 21.51% 18.49%
Avg Days To Max Decline   16 12 17 17 16 14 20 9 20 17 19
Avg Max Increase   -1.71% -0.71% -2.26% -0.70% -3.49% -2.99% -4.18% -4.07% -4.04% -1.44% -1.47%
Max Increase   -8.93% -7.93% -6.26% -7.22% -7.84% -6.72% -9.39% -19.84% -8.73% -3.50% -5.25%
Avg Days to Max Increase   10 6 7 2 7 6 11 3 9 6 2
2023 Contract Condition   Yes Yes     Yes   Yes Yes   Yes  
Action   Yes No     No   Yes No   No  
High 92.73 90.79 85.82 86.84 89.49 86.29 86.76 84.36 84.70 85.47 79.34 78.47
Low 83.70 85.51 75.21 78.01 79.10 75.64 76.88 77.35 69.95 76.70 71.00 71.57
Close/Last 91.25 86.65 76.18 83.85 84.86 83.10 83.33 81.37 79.11 79.46 72.49 75.41

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