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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Brent Crude Oil(ICE) as of Jan 01, 2020
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   21 24 24 25 27 27 28 28 30 30 30
Closed Higher   14 17 16 11 16 16 16 16 14 15 14
Exceeded High   13 16 14 10 14 15 12 13 10 14 12
Scenario Percentage   93% 94% 88% 91% 88% 94% 75% 81% 71% 93% 86%
Avg Max Increase   9.72% 9.59% 9.58% 8.56% 10.37% 9.58% 11.75% 9.48% 9.26% 10.17% 8.09%
Max Increase   20.68% 19.57% 34.33% 17.69% 27.26% 21.33% 30.49% 22.04% 15.29% 23.85% 16.23%
Avg Days To Max Increase   20 18 13 16 18 19 16 13 21 16 16
Avg Max Decline   -1.90% -2.41% -1.31% -1.90% -2.04% -1.39% -1.94% -1.77% -1.84% -2.72% -1.49%
Max Decline   -13.01% -8.68% -5.58% -6.14% -13.38% -8.95% -10.08% -9.44% -4.38% -9.25% -6.48%
Avg Days to Max Decline   12 9 6 9 6 7 6 5 10 6 4
2019 Contract Condition     Yes Yes Yes Yes   Yes Yes      
Action     Yes 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   21 24 24 25 27 27 28 28 30 30 30
Closed Lower   7 7 8 14 11 11 12 12 16 15 16
Penetrated Low   2 3 4 8 8 10 8 10 15 12 8
Scenario Percentage   29% 43% 50% 57% 73% 91% 67% 83% 94% 80% 50%
Avg Max Decline   7.83% 4.75% 10.32% 9.23% 9.88% 9.48% 14.85% 15.49% 17.70% 20.51% 16.86%
Max Decline   8.33% 11.16% 21.38% 19.16% 31.22% 27.63% 46.39% 50.65% 44.54% 40.79% 33.48%
Avg Days To Max Decline   17 3 20 20 15 18 20 15 18 19 18
Avg Max Increase   -1.13% -1.12% -3.03% -1.41% -0.67% -2.50% -3.40% -1.92% -3.41% -3.28% -3.75%
Max Increase   -2.15% -6.17% -6.05% -3.06% -5.56% -13.38% -12.67% -9.81% -10.38% -12.11% -11.30%
Avg Days to Max Increase   18 5 11 6 6 14 17 5 6 11 5
2019 Contract Condition   Yes         Yes     Yes Yes Yes
Action   No         Yes     Yes Yes Not Yet
High 65.77 65.29 66.03 71.25 77.36 77.00 77.63 77.34 82.11 85.58 75.09 63.93
Low 62.59 59.32 60.33 63.50 68.82 70.44 70.94 70.88 74.52 74.64 58.01 50.22
Close/Last 64.73 61.43 65.58 70.54 75.05 76.69 74.09 76.63 81.53 75.09 59.58 53.80

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