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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Brent Crude Oil(ICE) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   20 20 20 23 23 23 23 24 25 25 25
Closed Higher   16 10 9 10 11 10 11 15 16 15 11
Exceeded High   15 9 8 6 9 9 11 15 15 13 8
Scenario Percentage   94% 90% 89% 60% 82% 90% 100% 100% 94% 87% 73%
Avg Max Increase   8.43% 9.89% 9.15% 7.33% 7.13% 11.73% 12.43% 12.31% 11.14% 7.19% 6.60%
Max Increase   21.34% 28.84% 20.55% 13.03% 17.74% 22.29% 27.51% 30.75% 26.78% 24.34% 10.46%
Avg Days To Max Increase   15 15 13 20 16 17 12 17 14 7 8
Avg Max Decline   -0.11% -1.20% -1.39% -2.24% -2.36% -2.39% -2.49% -1.89% -3.43% -1.13% -1.22%
Max Decline   -7.84% -5.52% -4.92% -3.57% -8.71% -8.65% -11.14% -5.18% -11.90% -5.98% -5.06%
Avg Days to Max Decline   8 10 5 9 8 12 6 8 9 3 4
2014 Contract Condition   Yes Yes   Yes Yes Yes   Yes   Yes Yes
Action   Yes No   Yes Yes No   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   20 20 20 23 23 23 23 24 25 25 25
Closed Lower   4 10 11 13 12 12 11 9 9 10 14
Penetrated Low   4 6 8 11 9 8 6 4 6 6 6
Scenario Percentage   100% 60% 73% 85% 75% 67% 55% 44% 67% 60% 43%
Avg Max Decline   10.88% 14.93% 13.39% 12.02% 11.01% 10.78% 10.20% 9.04% 6.48% 11.39% 6.75%
Max Decline   26.29% 43.96% 46.81% 38.13% 27.61% 23.66% 23.70% 16.15% 13.63% 19.75% 13.71%
Avg Days To Max Decline   20 15 14 18 15 16 8 20 10 10 7
Avg Max Increase   -2.42% -1.63% -0.45% -2.20% -1.14% -4.51% -2.48% -4.15% -0.94% -4.25% -0.69%
Max Increase   -9.00% -9.03% -2.75% -5.07% -11.24% -11.11% -6.98% -10.44% -1.80% -10.52% -2.71%
Avg Days to Max Increase   23 11 10 8 9 12 3 14 7 5 2
2014 Contract Condition       Yes       Yes   Yes    
Action       No       Yes   Yes    
High 102.08 102.73 107.05 106.33 106.87 109.44 110.66 109.45 109.61 110.91 110.28 111.04
Low 97.11 98.61 100.95 101.88 101.90 102.30 106.54 103.91 103.60 104.97 103.84 106.32
Close/Last 98.09 102.34 105.17 102.90 105.80 107.98 109.02 104.58 107.96 107.40 107.53 109.41

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