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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February Brent Crude Oil(ICE) as of Jan 01, 2018
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   12 22 23 23 26 26 27 27 28 29 29
Closed Higher   4 14 16 14 11 14 17 15 16 15 15
Exceeded High   4 13 15 12 10 12 16 11 13 10 11
Scenario Percentage   100% 93% 94% 86% 91% 86% 94% 73% 81% 67% 73%
Avg Max Increase   7.10% 10.08% 9.25% 10.21% 8.79% 10.63% 9.90% 12.26% 9.66% 9.73% 8.06%
Max Increase   12.84% 21.43% 20.51% 33.83% 17.60% 22.05% 24.00% 31.02% 22.44% 15.81% 12.93%
Avg Days To Max Increase   16 19 15 11 17 18 19 17 13 20 20
Avg Max Decline   -0.20% -1.81% -2.52% -1.29% -1.52% -2.12% -1.64% -2.14% -2.73% -1.95% -1.52%
Max Decline   -1.22% -12.94% -8.86% -5.89% -3.72% -13.67% -9.19% -11.24% -10.89% -4.71% -4.04%
Avg Days to Max Decline   2 10 10 7 8 10 7 8 5 8 4
2017 Contract Condition       Yes Yes Yes Yes   Yes Yes   Yes
Action       Yes Yes Yes No   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   12 22 23 23 26 26 27 27 28 29 29
Closed Lower   8 8 7 8 15 12 9 12 12 14 14
Penetrated Low   4 3 4 4 8 8 8 9 10 13 11
Scenario Percentage   50% 38% 57% 50% 53% 67% 89% 75% 83% 93% 79%
Avg Max Decline   6.75% 6.49% 5.01% 10.65% 9.68% 9.93% 11.26% 13.67% 16.04% 16.80% 14.03%
Max Decline   14.86% 9.89% 11.34% 21.89% 19.70% 31.89% 27.96% 47.35% 51.70% 47.31% 34.87%
Avg Days To Max Decline   12 12 4 20 19 17 20 19 15 16 16
Avg Max Increase   -2.12% -0.45% -1.09% -3.18% -0.95% -1.82% -3.32% -3.28% -2.06% -2.44% -1.73%
Max Increase   -5.42% -2.07% -5.87% -6.31% -2.46% -9.35% -14.85% -13.51% -10.14% -4.75% -8.69%
Avg Days to Max Increase   3 13 4 12 4 10 16 15 5 4 3
2017 Contract Condition   Yes Yes         Yes     Yes  
Action   No No         Yes     Yes  
High 52.08 45.34 41.78 45.84 50.09 52.55 54.46 53.14 52.64 51.46 54.82 52.37
Low 44.11 34.71 37.10 41.51 40.53 46.36 49.24 44.50 43.46 46.51 49.14 44.67
Close/Last 45.51 42.39 41.59 43.99 49.26 51.68 51.82 45.54 48.09 51.25 49.30 51.84

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