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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 Dec 30, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   11 22 22 22 25 25 25 25 26 27 27
Closed Higher   7 16 11 9 11 11 10 11 16 17 17
Exceeded High   6 15 9 8 6 9 9 11 16 16 15
Scenario Percentage   86% 94% 82% 89% 55% 82% 90% 100% 100% 94% 88%
Avg Max Increase   7.93% 8.43% 9.89% 9.15% 7.33% 7.13% 11.73% 12.43% 11.80% 11.93% 6.25%
Max Increase   17.79% 21.34% 28.84% 20.55% 13.03% 17.74% 22.29% 27.51% 30.75% 26.78% 21.66%
Avg Days To Max Increase   15 15 15 13 20 16 17 12 18 15 13
Avg Max Decline   -2.17% -0.11% -1.20% -1.39% -2.24% -2.36% -2.39% -2.49% -2.75% -3.72% -1.66%
Max Decline   -11.06% -7.84% -5.52% -4.92% -3.57% -8.71% -8.65% -11.14% -15.72% -11.90% -8.53%
Avg Days to Max Decline   8 8 10 5 9 8 12 6 9 9 4
2016 Contract Condition       Yes   Yes         Yes Yes
Action       No   No         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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   11 22 22 22 25 25 25 25 26 27 27
Closed Lower   4 6 11 13 14 14 14 13 10 10 10
Penetrated Low   3 6 7 10 12 11 10 6 4 6 5
Scenario Percentage   75% 100% 64% 77% 86% 79% 71% 46% 40% 60% 50%
Avg Max Decline   13.59% 11.28% 15.27% 14.22% 13.70% 15.21% 13.06% 10.20% 9.04% 6.28% 8.21%
Max Decline   28.05% 26.29% 43.96% 46.81% 38.13% 38.33% 26.91% 23.70% 16.15% 12.45% 13.69%
Avg Days To Max Decline   11 22 15 15 19 15 16 8 20 10 21
Avg Max Increase   0.05% -1.35% -1.40% -1.31% -2.06% -1.34% -4.10% -2.48% -4.15% -0.94% -3.00%
Max Increase   -4.95% -9.00% -9.03% -8.68% -5.07% -11.24% -11.11% -6.98% -10.44% -1.80% -5.72%
Avg Days to Max Increase   8 17 10 9 8 7 10 3 14 7 3
2016 Contract Condition   Yes Yes   Yes   Yes Yes Yes Yes    
Action   Yes Yes   Yes   Yes Yes No No    
High 72.29 70.32 66.41 60.36 57.31 57.87 55.79 49.08 42.46 38.65 43.43 48.29
Low 66.58 66.30 58.19 48.83 52.38 51.53 47.99 39.80 30.02 32.30 37.27 37.52
Close/Last 69.54 67.87 58.19 59.87 53.25 54.46 48.68 41.07 38.40 37.83 40.77 47.37

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