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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Brent Crude Oil(ICE) as of Jan 01, 2018
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   19 23 23 23 26 26 26 28 28 28 29
Closed Higher   10 12 10 15 17 17 11 13 19 16 16
Exceeded High   9 10 10 14 16 15 10 12 18 12 12
Scenario Percentage   90% 83% 100% 93% 94% 88% 91% 92% 95% 75% 75%
Avg Max Increase   7.05% 10.13% 11.34% 10.69% 10.35% 10.28% 9.29% 11.27% 15.04% 16.78% 7.47%
Max Increase   16.86% 20.24% 25.17% 24.34% 22.25% 33.88% 17.35% 19.80% 86.32% 53.95% 14.72%
Avg Days To Max Increase   13 15 14 18 18 15 17 19 19 17 16
Avg Max Decline   -2.52% -2.18% -2.81% -2.59% -3.41% -2.34% -1.75% -2.64% -1.89% -2.23% -2.37%
Max Decline   -8.69% -7.31% -9.48% -13.88% -9.24% -6.57% -4.93% -14.47% -10.12% -13.31% -12.61%
Avg Days to Max Decline   7 6 7 9 7 8 6 7 7 9 3
2017 Contract Condition   Yes Yes   Yes         Yes   Yes
Action   Yes Yes   No         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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   19 23 23 23 26 26 26 28 28 28 29
Closed Lower   9 11 13 8 9 9 15 15 9 12 13
Penetrated Low   5 7 5 3 4 5 9 9 7 9 9
Scenario Percentage   56% 64% 38% 38% 44% 56% 60% 60% 78% 75% 69%
Avg Max Decline   22.38% 15.61% 9.60% 7.34% 5.70% 10.98% 9.88% 11.41% 13.74% 14.42% 11.07%
Max Decline   35.56% 25.56% 16.55% 11.41% 11.76% 23.02% 20.92% 33.34% 28.79% 49.34% 40.72%
Avg Days To Max Decline   17 16 14 12 4 19 18 13 17 19 15
Avg Max Increase   -0.36% -3.63% -2.48% -1.08% -2.16% -3.94% -1.21% -1.29% -4.21% -3.56% -1.88%
Max Increase   -3.57% -7.63% -6.39% -2.61% -5.94% -7.61% -2.99% -6.20% -21.51% -15.64% -10.83%
Avg Days to Max Increase   1 9 3 12 4 9 5 6 12 15 2
2017 Contract Condition       Yes   Yes Yes Yes Yes   Yes  
Action       Yes   Yes Yes Yes No   No  
High 57.09 55.18 59.40 60.09 58.06 57.30 57.40 55.37 52.40 53.20 53.41 58.88
Low 52.61 49.21 54.18 55.81 55.47 51.02 52.01 47.81 45.51 47.02 49.77 52.01
Close/Last 52.86 54.75 58.73 56.51 56.86 54.18 53.00 51.69 49.59 53.02 52.84 56.79

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