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