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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   20 20 20 22 23 23 25 25 25 26 26
Closed Higher   12 10 10 14 16 15 11 13 18 15 14
Exceeded High   10 9 9 14 15 14 8 12 17 12 10
Scenario Percentage   83% 90% 90% 100% 94% 93% 73% 92% 94% 80% 71%
Avg Max Increase   6.53% 10.83% 12.37% 10.76% 9.83% 10.01% 10.77% 11.69% 16.25% 16.71% 5.68%
Max Increase   16.96% 19.75% 24.28% 25.20% 22.91% 34.75% 16.93% 20.97% 95.55% 57.80% 11.04%
Avg Days To Max Increase   14 16 12 16 15 15 19 19 19 14 10
Avg Max Decline   -1.28% -1.59% -1.98% -1.30% -2.85% -1.71% -1.84% -2.81% -1.66% -2.33% -2.66%
Max Decline   -7.50% -6.67% -10.06% -3.69% -9.22% -5.78% -5.55% -14.81% -10.74% -14.30% -13.68%
Avg Days to Max Decline   7 7 8 8 7 7 8 9 5 8 3
2014 Contract Condition   Yes Yes   Yes     Yes Yes      
Action   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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   20 20 20 22 23 23 25 25 25 26 26
Closed Lower   8 10 10 8 7 8 14 12 7 11 12
Penetrated Low   4 5 5 4 3 4 9 7 5 6 7
Scenario Percentage   50% 50% 50% 50% 43% 50% 64% 58% 71% 55% 58%
Avg Max Decline   15.53% 13.56% 8.18% 7.65% 4.02% 10.73% 8.43% 7.75% 15.02% 17.57% 9.51%
Max Decline   26.05% 23.84% 17.85% 12.38% 7.70% 23.65% 14.97% 15.53% 29.48% 39.36% 28.73%
Avg Days To Max Decline   19 16 9 16 3 19 18 14 18 12 7
Avg Max Increase   2.06% -3.59% -1.86% -0.88% 0.60% -3.64% -1.13% -1.56% -6.64% -1.85% -0.88%
Max Increase   -1.07% -6.67% -6.51% -2.53% -0.01% -7.45% -3.09% -6.29% -25.15% -5.54% -2.18%
Avg Days to Max Increase   2 11 3 10 1 6 7 7 16 10 1
2014 Contract Condition       Yes   Yes Yes     Yes Yes Yes
Action       Yes   Yes No     Yes Yes Yes
High 104.75 107.28 108.46 104.57 107.29 108.31 107.87 108.17 113.81 111.68 107.77 103.87
Low 100.86 101.06 105.45 102.55 101.99 103.20 102.29 104.13 105.56 106.20 101.87 94.24
Close/Last 103.78 106.36 106.81 102.72 105.91 105.39 105.21 106.84 111.26 106.80 103.77 94.67

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