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