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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   20 20 20 23 23 23 25 25 25 26 26
Closed Higher   10 13 15 15 10 13 18 14 13 13 13
Exceeded High   9 13 14 13 9 12 17 11 10 9 7
Scenario Percentage   90% 100% 93% 87% 90% 92% 94% 79% 77% 69% 54%
Avg Max Increase   11.63% 10.77% 8.99% 10.34% 9.46% 10.63% 14.07% 16.38% 9.38% 7.99% 4.67%
Max Increase   25.27% 22.49% 21.59% 33.70% 17.40% 18.83% 79.27% 47.85% 22.95% 12.41% 8.26%
Avg Days To Max Increase   13 20 16 16 18 19 19 17 14 9 5
Avg Max Decline   -1.92% -1.29% -2.63% -1.40% -1.42% -2.33% -1.41% -1.83% -4.20% -1.96% -0.45%
Max Decline   -9.46% -3.76% -9.03% -4.84% -4.35% -14.00% -9.60% -12.35% -11.87% -5.06% -1.42%
Avg Days to Max Decline   4 11 7 8 7 9 6 8 6 9 1
2014 Contract Condition   Yes   Yes     Yes Yes Yes   Yes Yes
Action   Yes   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   20 20 20 23 23 23 25 25 25 26 26
Closed Lower   10 7 5 8 13 10 7 11 12 13 13
Penetrated Low   5 3 3 4 7 7 5 9 9 10 10
Scenario Percentage   50% 43% 60% 50% 54% 70% 71% 82% 75% 77% 77%
Avg Max Decline   7.28% 6.83% 3.41% 9.64% 8.64% 7.22% 13.62% 14.22% 17.02% 17.34% 11.82%
Max Decline   15.91% 10.97% 6.28% 22.43% 13.24% 14.19% 28.31% 48.27% 52.96% 41.40% 26.43%
Avg Days To Max Decline   10 15 11 18 18 14 22 20 15 13 9
Avg Max Increase   -0.95% -2.93% -0.23% -3.09% -1.39% -0.87% -6.20% -3.11% -1.23% -2.66% -1.37%
Max Increase   -5.47% -6.17% -1.14% -7.20% -3.31% -5.68% -23.15% -14.60% -3.90% -6.30% -5.14%
Avg Days to Max Increase   2 19 6 6 5 7 16 12 4 5 2
2014 Contract Condition     Yes   Yes Yes       Yes    
Action     Yes   No No       Yes    
High 105.10 108.32 111.21 106.17 107.62 103.40 104.76 106.44 113.31 111.87 110.70 111.66
Low 101.11 103.97 105.00 103.29 96.14 96.54 98.07 100.13 102.77 105.42 105.16 103.13
Close/Last 104.43 108.24 105.00 106.17 100.17 98.76 100.10 105.21 109.89 106.54 108.63 109.69

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