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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 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   15 25 26 26 29 29 30 30 31 32 32
Closed Higher   6 15 18 16 13 17 19 17 18 16 17
Exceeded High   6 14 17 13 12 15 18 12 14 11 13
Scenario Percentage   100% 93% 94% 81% 92% 88% 95% 71% 78% 69% 76%
Avg Max Increase   6.78% 9.97% 9.69% 10.16% 8.81% 9.71% 9.55% 12.21% 9.32% 10.30% 8.62%
Max Increase   12.84% 21.43% 20.51% 33.83% 17.60% 22.05% 24.00% 31.02% 22.44% 15.99% 13.68%
Avg Days To Max Increase   18 20 16 11 17 16 18 16 12 21 21
Avg Max Decline   -1.60% -1.89% -2.40% -1.39% -2.04% -2.18% -2.25% -2.20% -2.55% -1.80% -1.48%
Max Decline   -8.94% -12.94% -8.86% -5.89% -6.13% -13.67% -13.19% -11.24% -10.89% -4.71% -4.04%
Avg Days to Max Decline   5 10 9 6 9 8 7 8 5 7 3
2021 Contract Condition           Yes Yes Yes Yes     Yes
Action           Yes Yes Yes No     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   15 25 26 26 29 29 30 30 31 32 32
Closed Lower   9 10 8 9 16 12 10 13 13 16 15
Penetrated Low   5 4 5 4 9 8 9 9 11 15 12
Scenario Percentage   56% 40% 63% 44% 56% 67% 90% 69% 85% 94% 80%
Avg Max Decline   12.78% 14.93% 8.13% 10.65% 9.12% 9.93% 10.51% 13.67% 16.02% 17.32% 14.70%
Max Decline   36.91% 40.28% 20.62% 21.89% 19.70% 31.89% 27.96% 47.35% 51.70% 47.31% 34.87%
Avg Days To Max Decline   13 15 7 20 17 17 19 19 14 17 19
Avg Max Increase   -2.83% -1.68% -3.50% -3.18% -1.02% -1.82% -3.11% -3.28% -2.13% -2.36% -2.18%
Max Increase   -5.67% -5.38% -13.15% -6.31% -2.46% -9.35% -14.85% -13.51% -10.14% -4.75% -8.69%
Avg Days to Max Increase   6 11 3 12 3 10 15 15 5 3 3
2021 Contract Condition   Yes Yes Yes Yes         Yes Yes  
Action   Yes Yes Yes No         Yes Yes  
High 61.34 62.11 58.00 53.27 43.03 40.39 44.50 45.95 47.60 47.21 44.32 49.00
Low 57.17 54.40 50.55 34.63 30.19 32.50 38.91 41.84 44.34 40.90 37.70 36.29
Close/Last 60.53 54.89 50.55 38.03 34.28 40.17 42.16 44.78 46.37 43.12 38.40 47.88

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