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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Brent Crude Oil(ICE) as of May 10, 2021
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   15 26 26 26 29 29 29 31 31 31 32
Closed Higher   7 12 16 18 19 13 17 21 18 17 16
Exceeded High   5 11 15 17 16 12 15 20 13 13 9
Scenario Percentage   71% 92% 94% 94% 84% 92% 88% 95% 72% 76% 56%
Avg Max Increase   9.18% 10.72% 10.08% 10.14% 9.90% 9.06% 9.70% 13.20% 15.85% 9.23% 6.50%
Max Increase   16.45% 25.18% 22.49% 21.59% 33.70% 17.40% 18.83% 79.27% 47.85% 22.95% 11.63%
Avg Days To Max Increase   16 15 21 18 15 17 17 19 15 12 17
Avg Max Decline   -0.91% -2.40% -2.24% -2.80% -1.77% -2.11% -2.35% -2.23% -2.02% -3.55% -1.87%
Max Decline   -6.27% -9.46% -13.58% -9.03% -6.16% -6.31% -14.00% -13.44% -12.35% -11.87% -5.06%
Avg Days to Max Decline   7 5 11 7 7 7 7 6 7 5 3
2021 Contract Condition   Yes         Yes Yes Yes Yes    
Action   Yes         Yes Yes Yes No    
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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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   15 26 26 26 29 29 29 31 31 31 32
Closed Lower   8 14 10 8 10 16 12 10 13 14 16
Penetrated Low   5 7 4 5 5 10 8 8 9 11 13
Scenario Percentage   63% 50% 40% 63% 50% 63% 67% 80% 69% 79% 81%
Avg Max Decline   17.74% 12.03% 15.57% 8.73% 10.43% 9.71% 10.39% 12.01% 14.22% 16.59% 13.22%
Max Decline   24.71% 38.36% 41.78% 21.90% 22.43% 20.32% 32.60% 28.31% 48.27% 52.96% 29.41%
Avg Days To Max Decline   14 13 16 12 19 18 15 19 20 14 19
Avg Max Increase   -1.39% -1.81% -3.75% -4.41% -3.34% -1.38% -0.68% -4.09% -3.11% -2.22% -2.43%
Max Increase   -4.66% -5.73% -6.23% -15.43% -7.20% -3.31% -5.68% -23.15% -14.60% -10.46% -6.30%
Avg Days to Max Increase   4 5 15 6 10 5 6 11 12 5 4
2021 Contract Condition     Yes Yes Yes Yes         Yes Yes
Action     Yes Yes Yes No         Yes Yes
High 59.43 62.23 62.80 58.11 53.55 43.38 40.04 44.37 45.75 47.31 46.91 43.99
Low 56.77 57.28 54.42 50.40 33.88 29.35 31.91 38.55 41.61 44.00 40.42 37.26
Close/Last 56.77 60.87 54.96 50.41 37.58 33.65 39.81 41.95 44.47 46.03 42.75 37.94

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