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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   11 22 22 22 25 25 25 26 27 27 27
Closed Higher   8 11 9 10 11 10 12 16 17 17 12
Exceeded High   7 9 7 7 9 9 11 16 16 16 9
Scenario Percentage   88% 82% 78% 70% 82% 90% 92% 100% 94% 94% 75%
Avg Max Increase   5.85% 9.44% 10.09% 6.94% 6.84% 11.48% 11.93% 11.21% 11.22% 8.10% 8.46%
Max Increase   10.49% 28.49% 19.59% 12.62% 17.55% 21.87% 25.00% 29.20% 25.31% 29.07% 14.21%
Avg Days To Max Increase   11 15 15 15 13 18 11 17 15 12 16
Avg Max Decline   -0.57% -1.27% -1.22% -2.10% -2.10% -2.19% -2.35% -2.54% -3.46% -2.63% -1.67%
Max Decline   -7.71% -4.99% -4.53% -3.52% -8.39% -8.13% -10.75% -15.31% -10.48% -8.63% -4.63%
Avg Days to Max Decline   5 7 6 13 7 7 6 9 9 7 4
2016 Contract Condition     Yes   Yes         Yes Yes Yes
Action     No   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   11 22 22 22 25 25 25 26 27 27 27
Closed Lower   3 11 13 12 14 15 13 10 10 10 15
Penetrated Low   3 7 11 10 11 10 5 4 5 5 10
Scenario Percentage   100% 64% 85% 83% 79% 67% 38% 40% 50% 50% 67%
Avg Max Decline   16.45% 14.86% 12.45% 13.63% 14.56% 12.69% 10.63% 8.23% 5.01% 13.72% 7.98%
Max Decline   25.96% 43.27% 45.40% 36.95% 37.65% 26.57% 21.89% 14.91% 12.61% 25.51% 14.22%
Avg Days To Max Decline   23 15 15 19 16 16 14 20 11 20 18
Avg Max Increase   0.35% -1.21% -1.04% -2.32% -1.40% -3.61% -2.98% -3.84% -1.07% -4.32% -1.73%
Max Increase   -0.82% -8.52% -6.99% -4.76% -10.66% -10.05% -6.85% -9.81% -1.79% -9.51% -3.62%
Avg Days to Max Increase   3 10 8 7 8 7 4 14 8 6 5
2016 Contract Condition   Yes   Yes   Yes Yes Yes Yes      
Action   Yes   Yes   Yes Yes No No      
High 70.54 66.68 60.76 57.50 57.41 56.01 49.60 43.17 39.39 43.76 48.59 50.96
Low 67.08 58.61 49.31 52.45 52.13 48.60 40.55 30.70 33.10 37.93 37.88 43.90
Close/Last 68.08 58.61 60.25 53.66 54.94 49.24 41.81 39.14 38.46 41.22 47.74 49.89

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