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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 May 10, 2021
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   15 26 26 26 28 29 29 31 31 31 32
Closed Higher   7 15 13 12 17 19 19 14 16 21 19
Exceeded High   6 13 12 11 16 18 17 10 15 20 11
Scenario Percentage   86% 87% 92% 92% 94% 95% 89% 71% 94% 95% 58%
Avg Max Increase   7.06% 7.96% 9.41% 11.37% 10.21% 10.87% 9.65% 10.84% 10.50% 15.27% 14.51%
Max Increase   11.88% 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   16 14 15 14 17 17 14 18 17 17 21
Avg Max Decline   -0.71% -0.90% -1.56% -2.57% -2.22% -3.00% -2.05% -1.96% -2.77% -2.46% -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   7 6 6 7 8 6 7 7 8 6 4
2020 Contract Condition   Yes Yes Yes         Yes Yes Yes Yes
Action   Yes Yes Yes         Yes Yes Yes Not Yet
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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   15 26 26 26 28 29 29 31 31 31 32
Closed Lower   8 11 13 14 11 10 10 17 15 10 13
Penetrated Low   7 7 7 7 5 5 5 12 9 8 5
Scenario Percentage   88% 64% 54% 50% 45% 50% 50% 71% 60% 80% 38%
Avg Max Decline   15.25% 19.59% 15.47% 13.14% 15.22% 9.79% 11.51% 9.54% 11.70% 12.89% 12.26%
Max Decline   35.28% 35.98% 25.74% 41.29% 45.49% 24.92% 23.65% 21.51% 34.02% 29.48% 22.95%
Avg Days To Max Decline   20 19 16 13 17 7 19 18 13 16 21
Avg Max Increase   -1.42% 0.09% -2.64% -2.56% -2.03% -4.20% -3.82% -1.19% -1.41% -4.33% -1.35%
Max Increase   -4.76% -4.66% -6.67% -6.51% -6.64% -16.81% -7.45% -3.09% -6.29% -25.15% -2.59%
Avg Days to Max Increase   3 2 9 5 8 3 9 6 6 11 5
2020 Contract Condition         Yes Yes Yes Yes        
Action         Yes Yes Yes No        
High 60.80 58.54 59.86 62.99 66.15 58.47 53.47 42.52 39.18 44.10 45.34 46.61
Low 55.65 55.11 57.16 57.61 54.77 49.51 32.44 27.33 30.49 37.94 41.24 43.26
Close/Last 56.08 56.30 57.16 61.62 55.25 50.14 36.40 32.10 38.93 41.56 43.85 45.28

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