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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Brent Crude Oil(ICE) as of Jan 21, 2022
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   16 26 27 27 30 30 30 31 31 32 32
Closed Higher   10 12 18 17 17 14 13 16 15 18 20
Exceeded High   8 11 16 16 13 12 9 14 14 16 16
Scenario Percentage   80% 92% 89% 94% 76% 86% 69% 88% 93% 89% 80%
Avg Max Increase   11.53% 8.54% 9.23% 8.16% 9.82% 8.84% 8.61% 11.15% 12.61% 14.81% 8.85%
Max Increase   32.73% 16.30% 24.89% 17.56% 29.43% 21.10% 15.07% 23.89% 29.05% 32.80% 21.83%
Avg Days To Max Increase   15 18 18 16 14 12 21 15 18 14 15
Avg Max Decline   -1.41% -1.20% -1.61% -1.23% -1.43% -1.58% -1.77% -2.27% -3.21% -2.85% -1.64%
Max Decline   -5.39% -5.44% -11.46% -8.19% -7.43% -8.00% -3.80% -9.12% -13.71% -12.55% -4.76%
Avg Days to Max Decline   10 8 6 7 8 5 6 6 9 7 4
2021 Contract Condition     Yes Yes Yes Yes     Yes Yes Yes Yes
Action     Yes Yes Yes No     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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   16 26 27 27 30 30 30 31 31 32 32
Closed Lower   6 14 9 10 13 16 17 15 16 14 12
Penetrated Low   3 7 6 8 10 14 14 12 10 9 5
Scenario Percentage   50% 50% 67% 80% 77% 88% 82% 80% 63% 64% 42%
Avg Max Decline   11.82% 8.28% 10.79% 11.11% 11.89% 12.94% 15.80% 18.61% 14.11% 17.60% 16.52%
Max Decline   19.99% 17.98% 29.83% 27.01% 45.15% 48.62% 40.58% 39.59% 27.46% 61.63% 56.41%
Avg Days To Max Decline   20 19 15 18 18 15 19 18 16 13 20
Avg Max Increase   -1.22% -0.69% -0.36% -2.09% -3.90% -1.92% -2.23% -3.04% -4.65% -2.90% -3.30%
Max Increase   -3.24% -1.98% -5.47% -11.39% -16.92% -9.15% -6.78% -15.55% -12.81% -7.28% -8.52%
Avg Days to Max Increase   9 4 5 13 15 10 4 11 10 5 7
2021 Contract Condition   Yes         Yes Yes        
Action   No         Yes Yes        
High 53.34 42.15 41.39 44.82 46.48 48.39 48.09 45.14 49.01 52.40 57.09 66.82
Low 36.18 32.93 34.36 40.63 42.52 45.25 42.22 38.91 37.83 46.89 50.68 54.40
Close/Last 39.31 35.89 41.39 42.84 45.58 47.25 44.09 39.69 48.10 51.78 54.81 64.42

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