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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April Brent Crude Oil(ICE) as of Nov 30, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   14 24 25 25 27 28 28 29 30 30 30
Closed Higher   10 16 11 16 16 16 16 12 15 15 16
Exceeded High   9 13 10 14 16 12 13 8 14 14 12
Scenario Percentage   90% 81% 91% 88% 100% 75% 81% 67% 93% 93% 75%
Avg Max Increase   10.47% 9.83% 8.50% 9.84% 8.45% 11.07% 9.07% 8.17% 9.88% 11.63% 9.00%
Max Increase   18.62% 32.37% 17.73% 26.05% 19.09% 29.92% 21.56% 15.12% 23.87% 26.35% 18.46%
Avg Days To Max Increase   16 12 16 17 17 17 11 19 15 17 18
Avg Max Decline   -0.58% -0.88% -1.55% -1.99% -1.30% -1.91% -1.66% -2.01% -2.59% -4.27% -1.95%
Max Decline   -6.95% -5.27% -5.94% -12.99% -8.42% -8.52% -8.77% -4.02% -9.20% -17.83% -6.96%
Avg Days to Max Decline   6 5 10 5 7 6 5 6 6 11 4
2020 Contract Condition   Yes Yes   Yes Yes   Yes Yes Yes Yes  
Action   Yes No   Yes Yes   No Yes Not Yet    
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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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   14 24 25 25 27 28 28 29 30 30 30
Closed Lower   4 8 14 9 10 12 12 17 15 15 14
Penetrated Low   2 4 10 6 9 9 10 15 12 10 6
Scenario Percentage   50% 50% 71% 67% 90% 75% 83% 88% 80% 67% 43%
Avg Max Decline   5.29% 9.94% 7.70% 11.17% 9.71% 12.97% 14.86% 17.24% 19.35% 14.68% 11.89%
Max Decline   8.38% 20.66% 18.43% 30.53% 27.27% 45.74% 49.60% 42.24% 40.21% 27.77% 17.78%
Avg Days To Max Decline   4 19 16 16 18 20 15 18 18 15 16
Avg Max Increase   -2.52% -3.12% -1.18% -0.95% -2.67% -2.97% -1.74% -2.46% -3.35% -5.13% -3.26%
Max Increase   -5.27% -5.85% -3.72% -5.52% -12.39% -12.21% -9.45% -9.01% -14.34% -14.29% -7.51%
Avg Days to Max Increase   7 11 7 7 15 14 7 7 11 7 5
2020 Contract Condition       Yes     Yes          
Action       Yes     Yes          
High 65.80 66.43 70.28 68.28 64.14 65.49 62.54 66.97 60.70 62.36 60.85  
Low 60.99 64.27 66.35 59.24 56.87 59.78 55.00 55.44 54.71 57.72 59.58  
Close/Last 65.22 65.47 68.28 59.53 62.96 62.97 57.24 57.26 57.91 59.35 59.74  

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