MRCI's ScenarioSM Study

ScenarioSM Study for September Brent Crude Oil(ICE) as of Jan 01, 2015
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years		20	20	20	23	23	23	25	25	25	25	25
Closed Higher		9	9	12	10	13	14	16	16	11	13	18
Exceeded High		8	7	10	9	10	14	15	15	9	12	14
Scenario Percentage		89%	78%	83%	90%	77%	100%	94%	94%	82%	92%	78%
Avg Max Increase		8.59%	6.59%	7.03%	11.30%	12.66%	11.40%	9.92%	10.23%	10.41%	10.15%	9.57%
Max Increase		19.43%	11.95%	17.34%	21.37%	24.34%	27.55%	24.51%	37.42%	16.11%	20.00%	45.51%
Avg Days To Max Increase		14	13	13	19	13	16	14	16	22	11	8
Avg Max Decline		-0.92%	-1.64%	-1.86%	-2.02%	-2.36%	-1.61%	-2.91%	-1.91%	-2.93%	-3.39%	-0.71%
Max Decline		-3.75%	-3.54%	-8.81%	-7.13%	-10.38%	-4.11%	-9.71%	-7.21%	-7.60%	-14.88%	-3.11%
Avg Days to Max Decline		5	7	7	7	6	8	9	7	9	9	2
2014 Contract Condition			Yes	Yes	Yes		Yes			Yes	Yes
Action			Yes	Yes	No		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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years		20	20	20	23	23	23	25	25	25	25	25
Closed Lower		11	11	8	13	10	9	9	9	14	12	7
Penetrated Low		9	10	4	8	4	4	5	5	9	7	3
Scenario Percentage		82%	91%	50%	62%	40%	44%	56%	56%	64%	58%	43%
Avg Max Decline		11.05%	10.08%	16.32%	9.96%	10.73%	7.93%	5.26%	12.12%	9.62%	8.77%	8.84%
Max Decline		44.60%	36.28%	26.36%	24.04%	20.26%	13.85%	9.28%	24.86%	17.45%	16.79%	11.76%
Avg Days To Max Decline		11	17	19	16	11	20	8	20	16	14	12
Avg Max Increase		0.13%	-2.69%	2.58%	-3.79%	-2.36%	-3.46%	-0.52%	-3.88%	-1.46%	-1.94%	-1.25%
Max Increase		-2.29%	-6.26%	-0.08%	-7.84%	-6.72%	-9.39%	-1.21%	-8.73%	-3.50%	-7.11%	-3.19%
Avg Days to Max Increase		7	9	1	9	4	14	1	6	7	9	4
2014 Contract Condition		Yes				Yes		Yes	Yes			Yes
Action		Yes				Yes		Yes	No			Yes
High	105.48	104.82	105.52	108.41	109.67	108.30	108.46	109.64	109.08	109.34	115.09	112.54
Low	99.80	101.35	101.10	101.72	105.77	103.13	102.75	104.07	103.11	105.16	106.44	105.41
Close/Last	103.82	101.85	104.76	107.17	107.87	103.61	106.93	106.43	106.30	107.94	112.07	106.02