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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November Brent Crude Oil(ICE) as of Jul 31, 2017
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   11 22 22 22 24 25 25 27 27 27 28
Closed Higher   5 12 10 10 15 17 17 12 13 18 17
Exceeded High   4 10 9 9 15 16 16 9 12 17 10
Scenario Percentage   80% 83% 90% 90% 100% 94% 94% 75% 92% 94% 59%
Avg Max Increase   5.22% 6.53% 10.83% 12.37% 10.23% 10.53% 9.68% 10.22% 11.69% 16.05% 15.05%
Max Increase   7.30% 16.96% 19.75% 24.28% 25.20% 22.91% 34.75% 16.93% 20.97% 95.55% 50.87%
Avg Days To Max Increase   9 14 16 12 17 16 14 18 19 16 19
Avg Max Decline   -1.23% -1.28% -1.59% -1.98% -2.15% -3.18% -2.01% -1.90% -2.81% -1.49% -0.41%
Max Decline   -2.62% -7.50% -6.67% -10.06% -14.05% -9.22% -6.86% -5.55% -14.81% -10.74% -3.50%
Avg Days to Max Decline   3 7 7 8 8 7 7 7 9 4 4
2017 Contract Condition     Yes Yes   Yes         Yes  
Action     Yes Yes   No         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   11 22 22 22 24 25 25 27 27 27 28
Closed Lower   6 10 12 12 9 8 8 15 14 9 11
Penetrated Low   5 6 7 5 4 3 4 10 9 7 5
Scenario Percentage   83% 60% 58% 42% 44% 38% 50% 67% 64% 78% 45%
Avg Max Decline   14.17% 20.70% 15.47% 8.18% 7.65% 4.02% 10.73% 9.74% 11.70% 14.02% 12.26%
Max Decline   35.28% 35.98% 25.74% 17.85% 12.38% 7.70% 23.65% 21.51% 34.02% 29.48% 22.95%
Avg Days To Max Decline   20 18 16 9 16 3 19 19 13 16 21
Avg Max Increase   -2.13% 0.88% -2.64% -1.86% -0.88% 0.60% -3.64% -1.15% -1.41% -4.78% -1.35%
Max Increase   -4.76% -2.97% -6.67% -6.51% -2.53% -0.01% -7.45% -3.09% -6.29% -25.15% -2.59%
Avg Days to Max Increase   4 1 9 3 10 1 6 7 6 12 5
2017 Contract Condition   Yes     Yes   Yes Yes Yes Yes    
Action   Yes     Yes   Yes Yes Yes Not Yet    
High 54.40 56.59 54.65 59.10 60.08 58.10 57.38 57.41 55.33 52.23 53.05  
Low 49.42 52.66 49.31 55.40 55.83 55.53 50.98 51.94 47.67 45.19 46.70  
Close/Last 53.93 52.66 54.65 58.77 56.54 56.96 54.17 52.92 51.52 49.33 52.87  

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