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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Brent Crude Oil(ICE) as of Jan 01, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   13 23 24 24 27 27 27 28 28 29 29
Closed Higher   8 10 15 16 15 13 12 14 13 16 18
Exceeded High   7 9 13 15 12 11 8 12 12 14 14
Scenario Percentage   88% 90% 87% 94% 80% 85% 67% 86% 92% 88% 78%
Avg Max Increase   11.69% 8.77% 9.95% 8.37% 9.76% 9.20% 7.80% 9.85% 11.58% 13.71% 9.05%
Max Increase   32.73% 16.30% 24.89% 17.56% 29.43% 21.10% 14.65% 23.89% 24.67% 32.80% 21.83%
Avg Days To Max Increase   15 18 18 16 16 13 20 16 18 13 15
Avg Max Decline   -1.23% -0.60% -1.34% -1.26% -1.32% -1.70% -1.71% -2.41% -3.43% -3.16% -1.40%
Max Decline   -5.39% -3.56% -11.46% -8.19% -7.43% -8.00% -3.80% -9.12% -13.71% -12.55% -4.76%
Avg Days to Max Decline   11 7 7 7 9 5 7 7 9 8 4
2018 Contract Condition         Yes   Yes Yes Yes Yes Yes  
Action         Yes   Yes Yes 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   13 23 24 24 27 27 27 28 28 29 29
Closed Lower   5 13 9 8 12 14 15 14 15 13 11
Penetrated Low   3 6 6 7 9 12 12 11 10 8 4
Scenario Percentage   60% 46% 67% 88% 75% 86% 80% 79% 67% 62% 36%
Avg Max Decline   11.82% 9.15% 10.79% 10.94% 12.85% 13.56% 15.35% 18.98% 14.11% 12.10% 6.54%
Max Decline   19.99% 17.98% 29.83% 27.01% 45.15% 48.62% 40.58% 39.59% 27.46% 26.99% 17.82%
Avg Days To Max Decline   20 22 15 19 20 17 20 17 16 11 18
Avg Max Increase   -1.22% -0.84% -0.36% -2.50% -2.45% -2.02% -2.30% -2.77% -4.65% -2.56% -1.99%
Max Increase   -3.24% -1.98% -5.47% -11.39% -11.11% -9.15% -6.78% -15.55% -12.81% -7.28% -4.89%
Avg Days to Max Increase   9 4 5 15 15 8 5 11 10 3 9
2018 Contract Condition   Yes Yes Yes   Yes           Yes
Action   Yes Yes No   No           Not Yet
High 56.34 56.84 54.75 51.88 53.53 53.62 57.51 60.25 63.65 66.23 70.35 69.72
Low 51.52 52.71 49.73 47.29 48.34 50.23 52.53 54.40 59.18 60.68 65.52 61.48
Close/Last 54.01 53.03 51.97 50.65 53.38 53.27 56.11 60.06 61.84 66.09 68.57 64.73

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