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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, 2020
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   14 25 25 25 28 28 28 29 30 30 30
Closed Higher   9 14 12 11 13 12 14 18 19 19 13
Exceeded High   8 12 10 8 11 11 13 17 18 17 9
Scenario Percentage   89% 86% 83% 73% 85% 92% 93% 94% 95% 89% 69%
Avg Max Increase   5.89% 10.00% 9.35% 7.32% 7.77% 10.17% 11.20% 11.25% 11.55% 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 15 13 16 13 17 13 18 16 13 16
Avg Max Decline   -1.15% -1.37% -1.22% -2.00% -1.93% -2.06% -2.83% -2.59% -3.27% -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 5 12 6 6 6 9 8 6 4
2019 Contract Condition     Yes Yes       Yes Yes Yes Yes  
Action     Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   14 25 25 25 28 28 28 29 30 30 30
Closed Lower   5 11 13 14 15 16 14 11 11 11 17
Penetrated Low   4 7 11 12 12 10 6 4 6 6 12
Scenario Percentage   80% 64% 85% 86% 80% 63% 43% 36% 55% 55% 71%
Avg Max Decline   13.18% 14.86% 12.45% 14.57% 14.54% 12.69% 10.62% 8.23% 6.33% 13.98% 8.00%
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 19 17 16 15 20 10 20 15
Avg Max Increase   0.90% -1.21% -1.04% -2.04% -1.88% -3.61% -2.97% -3.84% -1.89% -4.42% -1.62%
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 6 8 7 3 14 8 9 4
2019 Contract Condition   Yes     Yes Yes Yes         Yes
Action   No     Yes Yes No         Yes
High 74.36 75.35 75.69 79.86 83.49 74.66 64.30 63.08 67.45 67.95 74.04 72.44
Low 69.42 70.33 70.37 74.15 74.19 58.99 51.43 53.69 60.54 63.85 67.07 61.39
Close/Last 74.36 72.93 75.27 79.86 74.63 59.99 54.88 60.96 66.18 66.94 71.45 61.99

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