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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   19 19 19 22 22 22 23 24 24 24 24
Closed Higher   9 9 8 10 9 12 14 16 15 10 12
Exceeded High   9 7 6 8 9 11 14 15 14 7 11
Scenario Percentage   100% 78% 75% 80% 100% 92% 100% 94% 93% 70% 92%
Avg Max Increase   9.44% 10.09% 7.32% 7.39% 11.48% 11.94% 12.37% 10.39% 8.38% 11.66% 6.79%
Max Increase   28.49% 19.59% 12.62% 17.55% 21.87% 25.00% 29.20% 25.31% 29.92% 15.42% 10.97%
Avg Days To Max Increase   15 15 17 15 18 11 17 14 14 13 12
Avg Max Decline   -1.27% -1.22% -1.45% -2.34% -2.19% -2.39% -1.82% -3.20% -2.32% -1.52% -1.45%
Max Decline   -4.99% -4.53% -3.45% -8.39% -8.13% -10.75% -4.33% -10.48% -8.63% -4.63% -3.95%
Avg Days to Max Decline   7 6 14 8 7 6 9 9 7 6 4
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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   19 19 19 22 22 22 23 24 24 24 24
Closed Lower   10 10 11 12 13 10 9 8 9 14 12
Penetrated Low   6 8 9 9 8 4 4 4 5 9 5
Scenario Percentage   60% 80% 82% 75% 62% 40% 44% 50% 56% 64% 42%
Avg Max Decline   14.57% 12.77% 11.61% 10.39% 10.45% 13.05% 8.23% 5.46% 13.72% 8.81% 5.09%
Max Decline   43.27% 45.40% 36.95% 26.67% 23.91% 21.89% 14.91% 12.61% 25.51% 14.22% 7.31%
Avg Days To Max Decline   15 14 18 16 16 17 20 13 20 15 10
Avg Max Increase   -1.40% 0.04% -2.52% -1.22% -3.92% -3.67% -3.84% -1.33% -4.32% -1.95% -0.98%
Max Increase   -8.52% -2.48% -4.76% -10.66% -10.05% -6.85% -9.81% -1.79% -9.51% -3.62% -3.14%
Avg Days to Max Increase   11 8 8 10 9 4 14 10 6 5 2
2013 Contract Condition     Yes Yes   Yes   Yes   Yes Yes  
Action     Yes Yes   No   Yes   No Not Yet  
High 103.42 110.25 111.53 109.68 108.17 108.26 111.69 115.17 109.00 110.61 105.15 106.67
Low 95.93 100.66 103.53 102.91 101.50 102.80 105.72 107.68 105.64 96.71 97.94 99.47
Close/Last 100.94 109.76 107.03 104.01 107.31 106.87 111.57 108.14 108.94 101.71 100.20 102.16

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