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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Brent Crude Oil(ICE) as of Jan 01, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   21 21 21 24 24 24 26 26 26 26 27
Closed Higher   9 12 11 13 15 16 17 11 13 18 16
Exceeded High   7 10 10 10 15 15 16 8 12 16 9
Scenario Percentage   78% 83% 91% 77% 100% 94% 94% 73% 92% 89% 56%
Avg Max Increase   6.35% 6.77% 9.86% 12.32% 10.53% 10.14% 9.72% 11.02% 12.10% 13.93% 10.00%
Max Increase   11.70% 17.15% 20.16% 24.61% 26.11% 23.63% 36.25% 16.52% 22.19% 57.97% 17.76%
Avg Days To Max Increase   11 13 19 12 17 15 15 22 19 12 11
Avg Max Decline   -0.95% -1.77% -2.50% -2.02% -2.25% -2.96% -1.72% -2.03% -3.09% -1.49% -0.57%
Max Decline   -2.76% -8.31% -6.90% -9.77% -14.45% -9.23% -6.43% -6.28% -15.02% -11.37% -3.71%
Avg Days to Max Decline   3 11 8 9 9 7 6 7 9 3 2
2015 Contract Condition           Yes   Yes       Yes
Action           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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   21 21 21 24 24 24 26 26 26 26 27
Closed Lower   11 9 10 11 8 8 9 15 13 8 11
Penetrated Low   10 5 6 4 4 3 5 10 9 5 5
Scenario Percentage   91% 56% 60% 36% 50% 38% 56% 67% 69% 63% 45%
Avg Max Decline   12.56% 18.21% 14.02% 10.34% 7.65% 4.26% 10.92% 10.35% 10.61% 14.28% 8.98%
Max Decline   35.75% 27.39% 24.04% 19.07% 13.22% 8.26% 24.31% 22.08% 34.70% 23.00% 15.54%
Avg Days To Max Decline   17 18 15 11 18 3 19 18 14 12 11
Avg Max Increase   -1.95% 2.07% -3.19% -2.37% -3.30% -0.35% -3.49% -1.38% -1.35% -1.81% -1.21%
Max Increase   -4.72% -3.43% -6.82% -6.61% -9.13% -1.02% -8.14% -3.38% -6.60% -4.22% -2.02%
Avg Days to Max Increase   8 1 9 4 13 1 7 5 8 14 2
2015 Contract Condition   Yes Yes Yes Yes   Yes   Yes Yes Yes  
Action   Yes Yes Yes No   No   Yes Yes Yes  
High 103.58 97.98 89.19 76.95 64.65 67.04 66.77 69.01 71.68 67.93 64.35 54.32
Low 97.48 87.80 74.40 62.29 54.02 58.06 57.27 58.57 62.83 62.61 52.24 42.23
Close/Last 97.48 89.67 74.40 64.16 59.72 66.94 59.53 68.88 67.04 64.67 52.85 54.15

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