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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, 2020
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   21 25 25 25 27 28 28 29 29 30 30
Closed Higher   9 16 16 13 13 11 14 13 15 19 18
Exceeded High   9 14 14 10 12 7 12 12 14 16 16
Scenario Percentage   100% 88% 88% 77% 92% 64% 86% 92% 93% 84% 89%
Avg Max Increase   8.52% 9.45% 8.43% 11.77% 8.55% 7.49% 9.61% 10.58% 11.94% 12.63% 9.32%
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   16 19 18 16 12 19 16 18 15 16 18
Avg Max Decline   -1.35% -2.04% -1.28% -1.80% -1.62% -2.19% -2.39% -3.38% -2.92% -2.87% -1.69%
Max Decline   -5.67% -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   7 7 8 10 5 5 7 9 6 8 2
2019 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   21 25 25 25 27 28 28 29 29 30 30
Closed Lower   12 9 9 12 14 17 14 16 14 11 12
Penetrated Low   6 6 7 8 12 14 11 10 8 4 6
Scenario Percentage   50% 67% 78% 67% 86% 82% 79% 63% 57% 36% 50%
Avg Max Decline   8.62% 10.79% 11.00% 14.23% 13.96% 15.17% 17.19% 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% -2.31% -1.77% -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
2019 Contract Condition       Yes     Yes Yes Yes      
Action       No     Yes Yes No      
High 69.78 75.99 75.59 76.43 76.49 81.16 84.55 74.97 64.37 63.15 67.77 68.48
Low 62.59 67.56 69.70 70.28 70.40 73.87 74.50 58.68 51.09 53.35 60.62 63.99
Close/Last 69.07 73.89 75.22 73.43 75.85 80.59 74.95 59.94 54.57 61.02 66.33 67.58

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