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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, 2019
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   13 24 24 24 26 27 27 29 29 29 30
Closed Higher   6 14 12 11 16 18 18 13 14 19 18
Exceeded High   5 12 11 10 15 17 17 9 13 18 11
Scenario Percentage   83% 86% 92% 91% 94% 94% 94% 69% 93% 95% 61%
Avg Max Increase   6.09% 7.31% 9.59% 11.41% 10.23% 10.97% 9.65% 10.22% 10.84% 15.69% 14.11%
Max Increase   9.58% 16.96% 19.75% 24.28% 25.20% 22.91% 34.75% 16.93% 20.97% 94.81% 50.29%
Avg Days To Max Increase   13 14 15 14 17 16 14 18 19 16 20
Avg Max Decline   -1.16% -1.04% -1.54% -2.76% -2.15% -3.20% -2.05% -1.90% -2.84% -1.73% -0.60%
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   2 6 6 8 8 7 7 7 9 4 4
2018 Contract Condition   Yes Yes Yes Yes   Yes Yes Yes Yes   Yes
Action   Yes Yes Yes Yes   Yes Yes No Yes   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   13 24 24 24 26 27 27 29 29 29 30
Closed Lower   7 10 12 13 10 9 9 16 15 10 12
Penetrated Low   6 6 7 6 4 4 5 11 9 8 5
Scenario Percentage   86% 60% 58% 46% 40% 44% 56% 69% 60% 80% 42%
Avg Max Decline   12.87% 20.70% 15.47% 8.45% 7.65% 6.01% 11.51% 9.97% 11.70% 12.89% 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% -4.33% -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 11 5
2018 Contract Condition           Yes         Yes  
Action           No         Yes  
High 56.35 58.69 61.52 64.31 67.73 67.25 68.11 73.36 79.15 78.85 79.00 78.32
Low 53.27 54.22 58.18 59.63 63.69 59.83 61.32 64.77 70.55 71.49 71.33 70.67
Close/Last 55.50 58.69 60.22 64.02 66.28 62.70 67.09 72.54 76.53 78.53 74.39 77.64

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