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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   20 20 20 23 23 23 25 25 25 26 26
Closed Higher   11 10 13 16 15 10 13 18 14 14 12
Exceeded High   9 10 13 15 13 9 12 17 11 11 4
Scenario Percentage   82% 100% 100% 94% 87% 90% 92% 94% 79% 79% 33%
Avg Max Increase   11.00% 11.34% 11.32% 9.66% 10.71% 9.70% 11.27% 15.28% 17.06% 8.65% 5.51%
Max Increase   20.24% 25.17% 24.34% 22.25% 33.88% 17.35% 19.80% 86.32% 53.95% 20.68% 7.88%
Avg Days To Max Increase   16 14 17 17 16 18 19 19 17 13 9
Avg Max Decline   -2.17% -2.81% -1.72% -3.09% -2.09% -1.68% -2.64% -1.64% -2.11% -4.27% -1.64%
Max Decline   -7.31% -9.48% -4.50% -9.24% -5.31% -4.93% -14.47% -10.12% -13.31% -13.18% -3.16%
Avg Days to Max Decline   7 7 9 7 8 7 7 6 8 6 1
2014 Contract Condition   Yes   Yes     Yes Yes        
Action   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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   20 20 20 23 23 23 25 25 25 26 26
Closed Lower   9 10 7 7 8 13 12 7 11 12 14
Penetrated Low   5 4 3 3 4 7 7 5 9 9 10
Scenario Percentage   56% 40% 43% 43% 50% 54% 58% 71% 82% 75% 71%
Avg Max Decline   13.70% 9.57% 7.34% 3.69% 10.19% 8.00% 7.51% 14.47% 14.59% 14.29% 8.04%
Max Decline   23.63% 16.55% 11.41% 6.89% 23.02% 13.95% 14.47% 28.79% 49.34% 49.18% 22.54%
Avg Days To Max Decline   16 11 12 3 19 16 14 18 20 10 9
Avg Max Increase   -4.21% -2.41% -1.08% -0.90% -3.80% -1.16% -1.38% -5.85% -3.56% -1.39% -1.84%
Max Increase   -7.63% -6.39% -2.61% -1.57% -7.61% -2.99% -6.20% -21.51% -15.64% -3.60% -4.39%
Avg Days to Max Increase   11 4 12 1 6 5 7 16 15 4 2
2014 Contract Condition     Yes   Yes Yes     Yes Yes Yes Yes
Action     Yes   Yes No     Yes Yes Yes Yes
High 107.15 108.25 106.83 106.78 107.78 107.35 107.68 113.19 111.23 107.89 104.27 96.78
Low 100.35 104.78 102.00 101.60 102.77 101.92 103.66 105.18 106.34 102.36 94.87 82.93
Close/Last 105.93 106.33 102.31 105.44 104.90 104.71 106.36 110.81 106.92 104.17 95.32 85.86

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