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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, 2018
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   12 23 23 23 26 26 26 28 28 28 29
Closed Higher   5 10 15 16 17 11 14 19 16 15 15
Exceeded High   3 9 14 15 15 10 12 18 12 12 8
Scenario Percentage   60% 90% 93% 94% 88% 91% 86% 95% 75% 80% 53%
Avg Max Increase   12.53% 11.63% 10.16% 9.72% 9.93% 9.06% 10.63% 13.84% 16.18% 9.59% 6.27%
Max Increase   16.45% 25.27% 22.49% 21.59% 33.70% 17.40% 18.83% 79.27% 47.85% 22.95% 11.63%
Avg Days To Max Increase   18 13 20 17 15 17 19 19 16 13 16
Avg Max Decline   -1.67% -1.92% -2.17% -2.98% -1.72% -1.51% -2.33% -1.67% -1.95% -3.83% -1.89%
Max Decline   -6.27% -9.46% -13.58% -9.03% -6.16% -4.35% -14.00% -9.60% -12.35% -11.87% -5.06%
Avg Days to Max Decline   11 4 12 7 7 6 9 7 7 6 3
2017 Contract Condition         Yes Yes Yes Yes   Yes Yes  
Action         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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   12 23 23 23 26 26 26 28 28 28 29
Closed Lower   7 13 8 7 9 15 12 9 12 13 14
Penetrated Low   5 6 3 4 5 9 8 7 9 10 11
Scenario Percentage   71% 46% 38% 57% 56% 60% 67% 78% 75% 77% 79%
Avg Max Decline   17.74% 7.64% 6.83% 5.44% 10.43% 10.26% 10.39% 13.06% 14.22% 16.61% 12.97%
Max Decline   24.71% 15.91% 10.97% 11.54% 22.43% 20.32% 32.60% 28.31% 48.27% 52.96% 29.41%
Avg Days To Max Decline   14 12 15 9 19 20 15 19 20 15 20
Avg Max Increase   -1.39% -1.16% -2.93% -1.65% -3.34% -1.36% -0.68% -4.47% -3.11% -2.16% -2.54%
Max Increase   -4.66% -5.47% -6.17% -5.91% -7.20% -3.31% -5.68% -23.15% -14.60% -10.46% -6.30%
Avg Days to Max Increase   4 2 19 8 10 5 6 12 12 5 4
2017 Contract Condition   Yes Yes Yes         Yes     Yes
Action   Yes No No         Yes     Yes
High 58.09 52.11 45.06 41.57 45.65 49.88 52.35 54.31 52.77 52.26 51.03 54.32
Low 51.49 43.58 33.85 36.50 40.70 40.16 46.03 48.96 44.03 42.99 46.09 48.45
Close/Last 51.74 44.96 41.95 41.15 43.61 49.05 51.47 51.48 45.07 47.68 50.75 48.61

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