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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Brent Crude Oil(ICE) as of Jan 01, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   20 24 24 24 26 27 27 28 28 29 29
Closed Higher   8 15 16 12 12 11 14 13 14 18 17
Exceeded High   8 13 14 9 11 7 12 12 13 15 15
Scenario Percentage   100% 87% 88% 75% 92% 64% 86% 92% 93% 83% 88%
Avg Max Increase   9.15% 10.05% 8.43% 11.80% 8.88% 7.49% 9.61% 10.58% 11.92% 12.54% 9.15%
Max Increase   17.73% 25.53% 16.40% 29.40% 20.85% 14.23% 23.40% 23.61% 30.09% 31.91% 20.26%
Avg Days To Max Increase   17 18 18 17 13 19 16 18 14 15 17
Avg Max Decline   -0.81% -1.69% -1.28% -1.70% -1.74% -2.19% -2.39% -3.38% -3.09% -2.83% -1.80%
Max Decline   -2.68% -12.64% -8.19% -6.48% -7.38% -3.68% -9.05% -13.99% -11.97% -16.18% -7.59%
Avg Days to Max Decline   6 6 8 11 5 5 7 9 6 8 2
2018 Contract Condition       Yes   Yes Yes Yes Yes Yes   Yes
Action       Yes   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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   20 24 24 24 26 27 27 28 28 29 29
Closed Lower   12 9 8 12 14 16 13 15 14 11 12
Penetrated Low   6 6 7 8 12 13 10 10 8 4 6
Scenario Percentage   50% 67% 88% 67% 86% 81% 77% 67% 57% 36% 50%
Avg Max Decline   8.62% 10.79% 11.00% 14.23% 13.96% 13.89% 17.43% 13.57% 11.51% 9.88% 8.61%
Max Decline   17.56% 29.33% 26.73% 44.80% 47.72% 39.33% 38.98% 27.20% 25.33% 17.04% 14.25%
Avg Days To Max Decline   19 17 22 14 15 19 18 16 11 20 9
Avg Max Increase   -0.88% -0.90% -2.41% -2.42% -1.30% -2.48% -1.21% -4.46% -2.45% -4.06% -1.14%
Max Increase   -2.55% -5.45% -10.80% -10.12% -8.96% -5.87% -11.77% -11.85% -7.09% -10.78% -1.66%
Avg Days to Max Increase   5 7 15 13 4 7 8 10 4 19 1
2018 Contract Condition   Yes Yes   Yes           Yes  
Action   Yes No   No           No  
High 56.99 54.95 52.53 53.55 53.64 57.32 60.03 63.38 65.95 69.97 69.36 70.40
Low 52.07 48.22 47.15 48.52 50.33 52.58 54.31 58.99 60.58 65.25 61.21 62.92
Close/Last 52.99 51.94 50.81 53.41 53.35 55.99 59.84 61.63 65.78 68.24 64.46 69.34

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