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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, 2018
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   12 23 23 23 26 26 26 26 27 28 28
Closed Higher   8 16 12 10 11 12 11 11 17 17 17
Exceeded High   6 15 10 9 6 10 10 11 16 16 15
Scenario Percentage   75% 94% 83% 90% 55% 83% 91% 100% 94% 94% 88%
Avg Max Increase   7.93% 8.43% 10.22% 8.81% 7.33% 7.51% 10.80% 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 14 13 20 14 16 12 18 15 13
Avg Max Decline   -2.17% -0.11% -1.36% -1.29% -2.24% -2.21% -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 9 5 9 8 11 6 9 9 4
2017 Contract Condition   Yes   Yes Yes   Yes Yes   Yes    
Action   No   Yes Yes   Yes Yes   No    
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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   12 23 23 23 26 26 26 26 27 28 28
Closed Lower   4 7 11 13 15 14 14 14 10 11 11
Penetrated Low   3 7 7 10 13 11 10 7 4 7 6
Scenario Percentage   75% 100% 64% 77% 87% 79% 71% 50% 40% 64% 55%
Avg Max Decline   13.59% 10.16% 15.27% 14.22% 13.23% 15.21% 13.06% 10.29% 9.04% 7.28% 8.58%
Max Decline   28.05% 26.29% 43.96% 46.81% 38.13% 38.33% 26.91% 23.70% 16.15% 13.29% 13.69%
Avg Days To Max Decline   11 19 15 15 19 15 16 10 20 9 19
Avg Max Increase   0.05% -0.79% -1.40% -1.31% -2.00% -1.34% -4.10% -2.56% -4.15% -1.66% -2.53%
Max Increase   -4.95% -9.00% -9.03% -8.68% -5.07% -11.24% -11.11% -6.98% -10.44% -5.95% -5.72%
Avg Days to Max Increase   8 15 10 9 7 7 10 3 14 8 3
2017 Contract Condition     Yes     Yes     Yes   Yes Yes
Action     Yes     Yes     Yes   Yes Yes
High 53.08 55.32 54.18 53.81 53.19 56.39 54.60 59.31 60.09 58.14 57.51 56.99
Low 47.98 50.49 47.00 45.90 48.42 51.50 47.75 53.67 55.50 55.26 50.29 51.01
Close/Last 52.66 53.22 47.53 49.81 53.15 51.67 54.15 58.70 56.42 57.01 53.79 52.05

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