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