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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 Jan 01, 2019
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   13 24 24 24 27 27 27 28 29 29 29
Closed Higher   9 13 11 11 13 12 13 17 18 18 13
Exceeded High   8 11 9 8 11 11 12 16 17 17 9
Scenario Percentage   89% 85% 82% 73% 85% 92% 92% 94% 94% 94% 69%
Avg Max Increase   5.89% 9.92% 9.89% 7.32% 7.77% 10.17% 11.18% 11.21% 11.60% 8.12% 8.40%
Max Increase   10.49% 28.49% 19.59% 12.62% 17.55% 21.87% 25.00% 29.20% 25.31% 29.07% 13.65%
Avg Days To Max Increase   13 16 14 16 13 17 13 17 15 13 16
Avg Max Decline   -1.15% -1.36% -1.34% -2.00% -1.93% -2.06% -3.01% -2.54% -3.47% -2.65% -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   7 6 6 12 6 6 6 9 9 6 4
2018 Contract Condition   Yes Yes Yes Yes Yes Yes Yes   Yes Yes Yes
Action   Yes Yes Yes Yes Yes Yes Yes   Yes Yes Not Yet
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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   13 24 24 24 27 27 27 28 29 29 29
Closed Lower   4 11 13 13 14 15 14 11 11 11 16
Penetrated Low   4 7 11 11 11 10 6 4 6 6 11
Scenario Percentage   100% 64% 85% 85% 79% 67% 43% 36% 55% 55% 69%
Avg Max Decline   13.18% 14.86% 12.45% 13.06% 14.56% 12.69% 10.62% 8.23% 6.33% 13.98% 8.36%
Max Decline   25.96% 43.27% 45.40% 36.95% 37.65% 26.57% 21.89% 14.91% 12.97% 25.51% 14.22%
Avg Days To Max Decline   18 15 15 18 16 16 15 20 10 20 16
Avg Max Increase   0.90% -1.21% -1.04% -2.22% -1.40% -3.61% -2.97% -3.84% -1.89% -4.42% -1.65%
Max Increase   -0.82% -8.52% -6.99% -4.76% -10.66% -10.05% -6.85% -9.81% -6.00% -9.51% -3.62%
Avg Days to Max Increase   3 10 8 7 8 7 3 14 8 9 4
2018 Contract Condition                 Yes      
Action                 No      
High 51.83 53.52 53.53 56.82 59.54 62.71 65.34 69.14 68.57 69.48 75.06 80.50
Low 47.99 49.36 50.73 53.10 54.18 58.62 60.24 64.65 60.60 62.30 65.87 71.99
Close/Last 51.13 53.52 53.53 55.79 59.40 61.12 65.12 67.50 63.78 68.36 74.17 77.56

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