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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 21, 2022
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   23 27 27 27 30 30 30 32 32 32 33
Closed Higher   13 15 13 17 19 20 14 17 22 18 19
Exceeded High   12 13 13 16 18 17 12 16 21 13 14
Scenario Percentage   92% 87% 100% 94% 95% 85% 86% 94% 95% 72% 74%
Avg Max Increase   8.76% 10.63% 11.73% 10.53% 10.69% 10.45% 9.98% 9.78% 14.06% 16.41% 7.36%
Max Increase   16.86% 23.98% 25.36% 24.34% 22.25% 33.88% 17.35% 19.80% 86.32% 53.95% 14.18%
Avg Days To Max Increase   13 16 15 18 18 16 17 16 19 16 16
Avg Max Decline   -2.21% -1.99% -3.02% -2.65% -3.21% -2.33% -1.69% -2.53% -2.98% -2.26% -2.12%
Max Decline   -8.69% -7.31% -9.86% -13.88% -9.24% -6.57% -4.93% -14.47% -13.69% -13.31% -12.61%
Avg Days to Max Decline   6 6 6 8 7 8 6 6 7 9 3
2021 Contract Condition   Yes Yes Yes Yes   Yes Yes Yes Yes   Yes
Action   Yes Yes Yes Yes   Yes Yes 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   23 27 27 27 30 30 30 32 32 32 33
Closed Lower   10 12 14 10 11 10 16 15 10 14 14
Penetrated Low   6 7 6 4 5 5 10 9 8 8 10
Scenario Percentage   60% 58% 43% 40% 45% 50% 63% 60% 80% 57% 71%
Avg Max Decline   20.91% 15.61% 14.63% 16.39% 9.25% 10.98% 9.37% 11.41% 12.62% 15.73% 10.80%
Max Decline   35.56% 25.56% 39.79% 43.54% 23.42% 23.02% 20.92% 33.34% 28.79% 49.34% 40.72%
Avg Days To Max Decline   18 16 14 15 7 19 17 13 16 17 17
Avg Max Increase   -1.47% -3.63% -3.04% -2.44% -4.93% -3.94% -1.24% -1.29% -3.85% -3.38% -1.99%
Max Increase   -7.05% -7.63% -6.39% -6.52% -16.00% -7.61% -2.99% -6.20% -21.51% -15.64% -10.83%
Avg Days to Max Increase   2 9 6 10 3 9 4 6 11 11 3
2021 Contract Condition           Yes         Yes  
Action           No         No  
High 46.29 48.68 51.46 54.86 62.92 66.18 66.01 68.12 73.50 75.02 73.74 79.95
Low 40.59 39.87 46.84 49.85 52.46 58.72 59.46 63.17 67.53 65.88 63.74 69.85
Close/Last 41.47 48.04 50.75 52.79 60.60 60.22 64.35 67.48 72.37 73.80 71.00 78.31

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