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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   20 20 20 23 23 23 25 25 25 25 26
Closed Higher   9 12 11 13 14 16 16 11 13 18 15
Exceeded High   7 10 10 10 14 15 15 8 12 16 9
Scenario Percentage   78% 83% 91% 77% 100% 94% 94% 73% 92% 89% 60%
Avg Max Increase   6.35% 6.77% 9.86% 12.32% 11.07% 10.14% 10.10% 11.02% 12.10% 13.93% 10.00%
Max Increase   11.70% 17.15% 20.16% 24.61% 26.11% 23.63% 36.25% 16.52% 22.19% 57.97% 17.76%
Avg Days To Max Increase   11 13 19 12 16 15 16 22 19 12 11
Avg Max Decline   -0.95% -1.77% -2.50% -2.02% -1.38% -2.96% -1.74% -2.03% -3.09% -1.49% -0.57%
Max Decline   -2.76% -8.31% -6.90% -9.77% -3.85% -9.23% -6.43% -6.28% -15.02% -11.37% -3.71%
Avg Days to Max Decline   3 11 8 9 8 7 7 7 9 3 2
2014 Contract Condition   Yes Yes Yes   Yes     Yes Yes    
Action   Yes Yes No   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   20 20 20 23 23 23 25 25 25 25 26
Closed Lower   10 8 9 10 8 7 9 14 12 7 11
Penetrated Low   9 4 5 4 4 3 5 9 8 4 5
Scenario Percentage   90% 50% 56% 40% 50% 43% 56% 64% 67% 57% 45%
Avg Max Decline   10.56% 15.91% 13.67% 10.34% 7.65% 4.26% 10.92% 9.05% 7.59% 12.83% 8.98%
Max Decline   35.75% 26.19% 24.04% 19.07% 13.22% 8.26% 24.31% 16.15% 16.78% 23.00% 15.54%
Avg Days To Max Decline   15 19 16 11 18 3 19 16 13 9 11
Avg Max Increase   -2.23% 3.45% -3.68% -2.37% -3.30% -0.35% -3.49% -1.39% -1.58% -2.38% -1.21%
Max Increase   -4.72% -0.31% -6.82% -6.61% -9.13% -1.02% -8.14% -3.38% -6.60% -4.22% -2.02%
Avg Days to Max Increase   8 1 10 4 13 1 7 5 9 17 2
2014 Contract Condition         Yes   Yes Yes     Yes Yes
Action         Yes   Yes No     Yes Yes
High 104.14 104.95 107.77 108.94 107.77 107.86 108.90 108.42 108.68 114.44 112.12 107.45
Low 100.94 101.27 101.38 105.53 102.71 102.36 103.58 102.67 104.60 105.94 105.91 101.07
Close/Last 101.35 104.26 106.77 107.32 103.14 106.40 105.89 105.72 107.34 111.68 106.53 103.19

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