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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, 2020
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   14 25 25 25 27 28 28 30 30 30 31
Closed Higher   6 14 12 12 17 19 19 13 15 20 18
Exceeded High   5 12 11 11 16 18 17 9 14 19 11
Scenario Percentage   83% 86% 92% 92% 94% 95% 89% 69% 93% 95% 61%
Avg Max Increase   6.09% 7.31% 9.59% 11.37% 10.21% 10.87% 9.65% 10.22% 10.38% 15.75% 14.51%
Max Increase   9.58% 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   13 14 15 14 17 17 14 18 18 18 21
Avg Max Decline   -1.16% -1.04% -1.54% -2.57% -2.22% -3.00% -2.05% -1.90% -2.91% -2.52% -0.60%
Max Decline   -2.62% -7.50% -6.67% -10.06% -14.05% -9.22% -6.86% -5.55% -14.81% -13.88% -3.50%
Avg Days to Max Decline   2 6 6 7 8 6 7 7 8 6 4
2019 Contract Condition         Yes Yes Yes Yes   Yes Yes  
Action         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   14 25 25 25 27 28 28 30 30 30 31
Closed Lower   8 11 13 13 10 9 9 17 15 10 13
Penetrated Low   7 7 7 6 4 4 5 12 9 8 5
Scenario Percentage   88% 64% 54% 46% 40% 44% 56% 71% 60% 80% 38%
Avg Max Decline   15.25% 19.59% 15.47% 8.45% 7.65% 6.01% 11.51% 9.54% 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   20 19 16 12 16 4 19 18 13 16 21
Avg Max Increase   -1.42% 0.09% -2.64% -2.01% -0.88% -1.05% -3.82% -1.19% -1.41% -4.33% -1.35%
Max Increase   -4.76% -4.66% -6.67% -6.51% -2.53% -5.98% -7.45% -3.09% -6.29% -25.15% -2.59%
Avg Days to Max Increase   3 2 9 3 10 4 9 6 6 11 5
2019 Contract Condition   Yes Yes Yes         Yes     Yes
Action   Yes Yes No         Yes     Not Yet
High 78.74 82.03 73.57 62.68 62.95 67.02 67.41 72.38 70.45 65.31 66.90 64.05
Low 73.17 74.03 59.45 52.14 54.17 60.33 63.64 66.52 59.80 57.48 60.70 55.59
Close/Last 78.69 74.03 59.89 55.07 60.76 65.86 66.33 70.03 60.38 64.07 64.55 59.25

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