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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Brent Crude Oil(ICE) as of Jan 01, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   21 21 21 24 24 24 26 26 26 26 26
Closed Higher   9 9 12 10 13 15 16 17 11 13 18
Exceeded High   8 7 10 9 10 15 15 16 9 12 13
Scenario Percentage   89% 78% 83% 90% 77% 100% 94% 94% 82% 92% 72%
Avg Max Increase   8.59% 6.59% 7.03% 11.30% 12.66% 10.87% 9.93% 9.86% 10.53% 10.16% 9.94%
Max Increase   19.43% 11.95% 17.34% 21.37% 24.34% 27.55% 24.51% 37.42% 16.11% 20.00% 45.51%
Avg Days To Max Increase   14 13 13 19 13 17 14 15 22 10 7
Avg Max Decline   -0.92% -1.28% -1.86% -2.02% -2.36% -2.50% -2.92% -1.88% -2.84% -3.31% -0.41%
Max Decline   -3.75% -2.90% -8.81% -7.13% -10.38% -14.85% -9.71% -7.21% -7.60% -14.88% -1.68%
Avg Days to Max Decline   5 7 7 7 6 9 9 6 9 9 1
2015 Contract Condition             Yes   Yes      
Action             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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   21 21 21 24 24 24 26 26 26 26 26
Closed Lower   12 12 9 14 11 9 10 9 15 13 8
Penetrated Low   10 11 5 9 4 4 5 5 10 8 4
Scenario Percentage   83% 92% 56% 64% 36% 44% 50% 56% 67% 62% 50%
Avg Max Decline   12.44% 12.05% 18.69% 10.66% 10.73% 7.93% 5.26% 12.12% 10.77% 10.78% 8.43%
Max Decline   44.60% 36.28% 28.14% 24.04% 20.26% 13.85% 9.28% 24.86% 22.49% 24.79% 11.76%
Avg Days To Max Decline   13 19 18 15 11 20 8 20 18 13 11
Avg Max Increase   0.03% -2.45% 1.34% -3.53% -2.36% -3.46% -0.46% -3.88% -1.59% -1.64% -0.84%
Max Increase   -2.29% -6.26% -3.63% -7.84% -6.72% -9.39% -1.21% -8.73% -3.50% -7.11% -3.19%
Avg Days to Max Increase   6 8 1 8 4 14 1 6 7 8 3
2015 Contract Condition   Yes Yes Yes Yes Yes   Yes   Yes Yes Yes
Action   Yes Yes Yes Yes No   No   Yes Yes Yes
High 105.17 103.81 98.37 89.49 76.71 64.44 66.49 66.07 68.59 71.37 67.49 63.85
Low 102.92 97.40 87.04 73.66 61.57 53.19 57.28 56.47 57.70 62.39 62.00 51.63
Close/Last 103.69 97.49 89.48 74.02 63.52 58.93 66.32 58.78 68.46 66.61 64.14 52.21

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