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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, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   20 24 24 24 27 27 27 29 29 29 30
Closed Higher   11 13 11 15 18 18 12 14 19 17 17
Exceeded High   10 11 11 14 17 16 10 13 18 13 13
Scenario Percentage   91% 85% 100% 93% 94% 89% 83% 93% 95% 76% 76%
Avg Max Increase   7.57% 9.73% 10.57% 10.69% 10.80% 10.21% 9.29% 10.46% 15.04% 16.41% 7.27%
Max Increase   16.86% 20.24% 25.17% 24.34% 22.25% 33.88% 17.35% 19.80% 86.32% 53.95% 14.72%
Avg Days To Max Increase   14 16 15 18 18 16 17 19 19 16 15
Avg Max Decline   -2.40% -2.02% -3.45% -2.59% -3.41% -2.36% -1.75% -2.68% -1.89% -2.26% -2.21%
Max Decline   -8.69% -7.31% -9.86% -13.88% -9.24% -6.57% -4.93% -14.47% -10.12% -13.31% -12.61%
Avg Days to Max Decline   7 6 7 9 7 8 6 6 7 9 3
2018 Contract Condition   Yes Yes Yes   Yes Yes Yes Yes   Yes Yes
Action   Yes Yes Yes   Yes Yes No Yes   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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   20 24 24 24 27 27 27 29 29 29 30
Closed Lower   9 11 13 9 9 9 15 15 10 12 13
Penetrated Low   5 7 5 3 4 5 9 9 8 9 9
Scenario Percentage   56% 64% 38% 33% 44% 56% 60% 60% 80% 75% 69%
Avg Max Decline   22.38% 15.61% 9.60% 7.34% 5.70% 10.98% 9.88% 11.41% 12.62% 14.42% 11.07%
Max Decline   35.56% 25.56% 16.55% 11.41% 11.76% 23.02% 20.92% 33.34% 28.79% 49.34% 40.72%
Avg Days To Max Decline   17 16 14 12 4 19 18 13 16 19 15
Avg Max Increase   -0.36% -3.63% -2.48% -1.08% -2.16% -3.94% -1.21% -1.29% -3.85% -3.56% -1.88%
Max Increase   -3.57% -7.63% -6.39% -2.61% -5.94% -7.61% -2.99% -6.20% -21.51% -15.64% -10.83%
Avg Days to Max Increase   1 9 3 12 4 9 5 6 11 15 2
2018 Contract Condition         Yes         Yes    
Action         No         Yes    
High 58.66 61.39 63.95 67.27 66.79 67.72 72.85 78.72 78.46 78.72 78.11 83.41
Low 53.87 57.60 59.17 63.31 59.34 60.97 64.41 70.10 71.25 71.29 70.85 75.32
Close/Last 58.47 59.93 63.64 65.83 62.33 66.68 72.04 76.15 78.13 74.43 77.40 82.73

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