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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 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   18 29 29 29 31 32 32 34 34 34 35
Closed Higher   9 17 15 15 19 20 22 16 18 23 20
Exceeded High   7 14 14 13 18 18 19 12 17 22 12
Scenario Percentage   78% 82% 93% 87% 95% 90% 86% 75% 94% 96% 60%
Avg Max Increase   6.86% 8.44% 11.65% 14.81% 11.43% 10.87% 10.30% 10.73% 10.45% 14.84% 14.15%
Max Increase   11.88% 16.96% 25.78% 41.56% 32.87% 22.91% 34.75% 16.93% 20.97% 95.55% 50.87%
Avg Days To Max Increase   15 14 16 13 16 17 14 16 16 17 21
Avg Max Decline   -0.43% -0.95% -1.51% -2.35% -2.11% -3.00% -2.13% -1.78% -2.58% -2.92% -0.56%
Max Decline   -2.62% -7.50% -6.67% -10.06% -14.05% -9.22% -6.86% -5.55% -14.81% -13.93% -3.50%
Avg Days to Max Decline   6 6 6 6 8 6 8 6 7 6 4
2023 Contract Condition   Yes Yes   Yes     Yes   Yes Yes Yes
Action   Yes No   No     No   Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   18 29 29 29 31 32 32 34 34 34 35
Closed Lower   9 12 14 14 12 12 10 18 16 11 15
Penetrated Low   7 8 7 7 6 5 5 12 10 9 6
Scenario Percentage   78% 67% 50% 50% 50% 42% 50% 67% 63% 82% 40%
Avg Max Decline   15.25% 17.53% 15.47% 13.14% 14.90% 9.79% 11.51% 9.54% 11.87% 13.41% 12.30%
Max Decline   35.28% 35.98% 25.74% 41.29% 45.49% 24.92% 23.65% 21.51% 34.02% 29.48% 22.95%
Avg Days To Max Decline   20 17 16 13 18 7 19 18 13 17 21
Avg Max Increase   -1.42% -0.14% -2.64% -2.56% -2.37% -4.20% -3.82% -1.19% -1.71% -4.07% -1.36%
Max Increase   -4.76% -4.66% -6.67% -6.51% -6.64% -16.81% -7.45% -3.09% -6.29% -25.15% -2.59%
Avg Days to Max Increase   3 1 9 5 8 3 9 6 6 13 5
2023 Contract Condition       Yes   Yes Yes   Yes      
Action       No   Yes No   No      
High 84.31 85.01 87.47 84.00 85.61 83.26 83.69 84.14 78.33 77.66 85.10 87.37
Low 74.63 77.37 80.36 76.09 76.30 76.67 69.70 75.90 70.54 71.20 74.13 81.61
Close/Last 75.24 82.76 83.97 82.09 82.30 80.41 78.31 78.53 71.92 75.12 84.95 86.83

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