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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Brent Crude Oil(ICE) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   19 19 19 21 22 22 23 23 24 24 24
Closed Higher   12 14 9 10 8 11 10 13 15 15 15
Exceeded High   12 12 8 9 5 9 10 12 14 13 12
Scenario Percentage   100% 86% 89% 90% 63% 82% 100% 92% 93% 87% 80%
Avg Max Increase   10.12% 8.91% 11.84% 8.68% 7.51% 9.77% 11.81% 12.67% 13.74% 9.94% 5.99%
Max Increase   25.53% 16.40% 29.40% 20.85% 14.23% 23.40% 23.61% 30.09% 31.91% 16.79% 16.24%
Avg Days To Max Increase   17 18 19 14 16 15 19 13 16 8 8
Avg Max Decline   -1.71% -0.83% -1.54% -1.72% -1.66% -2.75% -3.73% -2.49% -2.27% -1.27% -0.90%
Max Decline   -12.64% -8.19% -6.48% -7.38% -3.68% -9.05% -13.99% -11.97% -5.51% -7.52% -3.16%
Avg Days to Max Decline   6 7 12 6 5 7 10 6 9 4 2
2013 Contract Condition     Yes Yes     Yes   Yes   Yes  
Action     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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   19 19 19 21 22 22 23 23 24 24 24
Closed Lower   7 5 10 11 14 11 13 10 9 9 9
Penetrated Low   5 4 7 9 11 8 8 6 4 5 3
Scenario Percentage   71% 80% 70% 82% 79% 73% 62% 60% 44% 56% 33%
Avg Max Decline   7.08% 11.76% 13.76% 14.47% 12.71% 13.08% 11.29% 13.34% 9.88% 9.64% 6.73%
Max Decline   12.92% 26.73% 44.80% 47.72% 39.33% 28.49% 23.45% 25.33% 17.04% 14.25% 7.89%
Avg Days To Max Decline   16 24 18 16 18 18 15 11 20 11 11
Avg Max Increase   -1.19% -3.89% -2.74% -0.67% -2.77% -1.10% -4.89% -2.70% -4.06% -1.14% -1.98%
Max Increase   -5.45% -10.80% -10.12% -2.84% -5.87% -11.77% -11.85% -7.09% -10.78% -1.72% -3.88%
Avg Days to Max Increase   8 24 14 4 8 10 12 4 19 2 1
2013 Contract Condition   Yes     Yes Yes   Yes   Yes   Yes
Action   No     Yes Yes   No   Yes   Not Yet
High 113.99 99.90 104.37 112.27 113.83 111.12 109.20 109.20 113.13 116.67 110.38 111.53
Low 98.68 90.92 94.69 100.49 103.64 103.43 102.10 103.60 106.92 109.05 106.50 96.75
Close/Last 99.07 97.71 101.38 110.72 108.05 104.84 108.22 107.94 112.94 109.55 109.79 102.37

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