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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, 2018
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   12 23 23 23 25 26 26 28 28 28 29
Closed Higher   5 13 11 10 16 17 17 12 13 19 17
Exceeded High   4 11 10 9 15 16 16 9 12 18 10
Scenario Percentage   80% 85% 91% 90% 94% 94% 94% 75% 92% 95% 59%
Avg Max Increase   5.22% 6.84% 9.97% 12.37% 10.23% 10.53% 9.68% 10.22% 11.69% 15.86% 15.05%
Max Increase   7.30% 16.96% 19.75% 24.28% 25.20% 22.91% 34.75% 16.93% 20.97% 95.55% 50.87%
Avg Days To Max Increase   9 13 15 12 17 16 14 18 19 16 19
Avg Max Decline   -1.23% -1.04% -1.65% -1.98% -2.15% -3.18% -2.01% -1.90% -2.81% -1.73% -0.41%
Max Decline   -2.62% -7.50% -6.67% -10.06% -14.05% -9.22% -6.86% -5.55% -14.81% -10.74% -3.50%
Avg Days to Max Decline   3 6 7 8 8 7 7 7 9 4 4
2017 Contract Condition     Yes Yes   Yes         Yes  
Action     Yes Yes   No         Yes  
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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   12 23 23 23 25 26 26 28 28 28 29
Closed Lower   7 10 12 13 9 9 9 16 15 9 12
Penetrated Low   6 6 7 6 4 4 5 11 9 7 5
Scenario Percentage   86% 60% 58% 46% 44% 44% 56% 69% 60% 78% 42%
Avg Max Decline   12.87% 20.70% 15.47% 8.45% 7.65% 6.01% 11.51% 9.97% 11.70% 14.02% 12.26%
Max Decline   35.28% 35.98% 25.74% 17.85% 12.38% 12.00% 23.65% 21.51% 34.02% 29.48% 22.95%
Avg Days To Max Decline   19 18 16 12 16 4 19 19 13 16 21
Avg Max Increase   -1.76% 0.88% -2.64% -2.01% -0.88% -1.05% -3.82% -1.17% -1.41% -4.78% -1.35%
Max Increase   -4.76% -2.97% -6.67% -6.51% -2.53% -5.98% -7.45% -3.09% -6.29% -25.15% -2.59%
Avg Days to Max Increase   3 1 9 3 10 4 9 6 6 12 5
2017 Contract Condition   Yes     Yes   Yes Yes Yes Yes   Yes
Action   Yes     Yes   Yes Yes Yes No   Not Yet
High 54.40 56.59 54.65 59.10 60.08 58.10 57.38 57.41 55.33 52.23 53.05 53.47
Low 49.42 52.66 49.31 55.40 55.83 55.53 50.98 51.94 47.67 45.19 46.70 49.81
Close/Last 53.93 52.66 54.65 58.77 56.54 56.96 54.17 52.92 51.52 49.33 52.87 52.86

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