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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February Brent Crude Oil(ICE) as of Sep 30, 2017
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   11 21 22 22 25 25 26 26 27 28 28
Closed Higher   4 13 16 14 11 14 16 15 15 14 14
Exceeded High   4 13 15 12 10 12 15 11 12 9 10
Scenario Percentage   100% 100% 94% 86% 91% 86% 94% 73% 80% 64% 71%
Avg Max Increase   7.10% 10.11% 9.25% 10.21% 8.87% 10.66% 9.96% 12.26% 9.28% 9.53% 8.07%
Max Increase   12.84% 21.82% 20.51% 33.83% 17.60% 22.05% 24.00% 31.02% 22.44% 15.37% 12.93%
Avg Days To Max Increase   16 20 15 11 17 18 19 17 14 19 19
Avg Max Decline   -0.20% -1.81% -2.54% -1.29% -1.37% -2.12% -1.34% -2.14% -2.69% -1.83% -1.44%
Max Decline   -1.22% -12.94% -8.86% -5.89% -3.72% -13.67% -9.19% -11.24% -10.89% -4.71% -4.04%
Avg Days to Max Decline   2 10 10 7 7 10 6 8 5 9 3
2018 Contract Condition     Yes         Yes   Yes    
Action     No         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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   11 21 22 22 25 25 26 26 27 28 28
Closed Lower   7 8 6 7 14 11 9 11 12 14 14
Penetrated Low   3 3 3 3 7 8 8 9 10 13 11
Scenario Percentage   43% 38% 50% 43% 50% 73% 89% 82% 83% 93% 79%
Avg Max Decline   6.00% 6.49% 2.88% 9.87% 9.48% 9.93% 11.26% 13.68% 16.04% 16.80% 14.05%
Max Decline   14.86% 9.89% 5.48% 21.89% 19.70% 31.89% 27.96% 47.35% 51.70% 47.31% 34.87%
Avg Days To Max Decline   9 12 3 20 18 17 20 19 15 16 17
Avg Max Increase   -2.13% -0.45% 0.40% -2.83% -0.91% -1.82% -3.32% -3.28% -2.07% -2.44% -1.76%
Max Increase   -5.42% -2.07% -0.37% -6.31% -2.46% -9.35% -14.85% -13.51% -10.14% -4.75% -8.69%
Avg Days to Max Increase   3 13 1 8 4 10 16 15 5 4 3
2018 Contract Condition   Yes   Yes Yes Yes Yes   Yes   Yes  
Action   Yes   Yes Yes Yes No   Not Yet      
High 58.99 58.84 57.61 56.55 57.33 55.32 52.54 53.40 53.46 58.13 56.38  
Low 56.03 55.92 55.91 51.35 52.14 48.01 46.15 47.59 49.89 52.21 55.16  
Close/Last 58.61 56.43 56.72 54.15 53.06 51.89 50.07 53.23 53.01 56.43 55.71  

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