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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   20 24 24 24 27 27 27 29 29 29 29
Closed Higher   12 11 11 14 12 14 16 18 19 13 14
Exceeded High   11 10 8 12 11 11 15 17 18 10 10
Scenario Percentage   92% 91% 73% 86% 92% 79% 94% 94% 95% 77% 71%
Avg Max Increase   8.41% 8.74% 7.01% 7.81% 10.01% 11.77% 10.86% 11.15% 9.85% 9.97% 7.71%
Max Increase   28.15% 19.43% 11.95% 17.34% 21.37% 24.34% 27.55% 24.51% 37.42% 16.11% 14.00%
Avg Days To Max Increase   15 13 15 13 18 14 17 15 15 21 17
Avg Max Decline   -1.43% -0.94% -1.60% -1.74% -1.91% -3.07% -2.50% -3.27% -2.25% -2.88% -1.44%
Max Decline   -4.60% -3.75% -3.54% -8.81% -7.13% -10.38% -14.85% -9.71% -7.61% -7.60% -3.19%
Avg Days to Max Decline   7 4 6 7 6 6 9 8 6 8 4
2018 Contract Condition   Yes Yes Yes Yes Yes Yes   Yes Yes Yes Yes
Action   Yes Yes Yes Yes Yes Yes   Yes Yes No 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   20 24 24 24 27 27 27 29 29 29 29
Closed Lower   8 13 13 10 15 13 11 11 10 16 15
Penetrated Low   6 11 12 6 10 5 4 6 6 11 8
Scenario Percentage   75% 85% 92% 60% 67% 38% 36% 55% 60% 69% 53%
Avg Max Decline   16.39% 12.09% 11.61% 21.75% 12.23% 10.64% 7.93% 6.49% 12.64% 10.98% 9.63%
Max Decline   41.98% 44.60% 36.28% 37.04% 26.30% 20.26% 13.85% 12.66% 24.86% 21.51% 18.49%
Avg Days To Max Decline   17 14 18 18 16 13 20 7 20 18 19
Avg Max Increase   -0.96% -0.69% -2.34% 1.02% -3.49% -2.46% -3.46% -1.44% -4.04% -1.44% -0.99%
Max Increase   -7.95% -7.93% -6.26% -3.63% -7.84% -6.72% -9.39% -6.01% -8.73% -3.50% -2.70%
Avg Days to Max Increase   9 6 7 1 7 3 14 3 9 6 2
2018 Contract Condition               Yes        
Action               No        
High 54.00 53.62 56.72 59.15 62.38 65.01 68.68 68.14 69.03 74.47 80.07 79.56
Low 49.20 50.77 53.15 54.36 58.39 59.97 64.33 60.29 61.98 65.46 71.49 72.11
Close/Last 53.53 53.58 55.67 59.15 60.82 64.76 67.11 63.44 67.91 73.60 77.25 79.23

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