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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   18 19 19 22 22 23 23 24 25 25 25
Closed Higher   11 15 12 9 12 16 13 14 13 13 13
Exceeded High   11 14 10 8 12 15 10 11 9 11 11
Scenario Percentage   100% 93% 83% 89% 100% 94% 77% 79% 69% 85% 85%
Avg Max Increase   11.64% 8.52% 10.82% 9.64% 10.66% 9.96% 12.09% 9.49% 9.70% 9.87% 6.88%
Max Increase   21.82% 20.51% 33.83% 17.60% 22.05% 24.00% 31.02% 22.44% 15.81% 22.22% 12.56%
Avg Days To Max Increase   18 14 11 17 18 19 18 14 20 12 9
Avg Max Decline   -0.74% -2.16% -0.83% -1.31% -2.12% -1.34% -2.03% -2.86% -1.83% -2.73% -3.06%
Max Decline   -3.73% -8.86% -4.41% -3.72% -13.67% -9.19% -11.24% -10.89% -4.71% -9.39% -22.00%
Avg Days to Max Decline   7 10 7 8 10 6 9 5 9 6 3
2014 Contract Condition     Yes     Yes Yes Yes   Yes Yes Yes
Action     Yes     Yes Yes No   Yes Yes Not Yet
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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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   18 19 19 22 22 23 23 24 25 25 25
Closed Lower   7 4 6 13 10 6 10 10 12 12 12
Penetrated Low   3 2 3 6 7 5 8 8 11 9 4
Scenario Percentage   43% 50% 50% 46% 70% 83% 80% 80% 92% 75% 33%
Avg Max Decline   6.49% 3.35% 9.87% 7.78% 6.79% 11.39% 12.91% 15.09% 16.15% 16.03% 9.26%
Max Decline   9.89% 5.48% 21.89% 12.56% 13.81% 27.96% 47.35% 51.70% 47.31% 34.87% 15.13%
Avg Days To Max Decline   12 4 20 16 17 20 20 13 18 15 11
Avg Max Increase   -0.45% -0.21% -2.83% -0.86% -2.17% -5.07% -3.68% -1.15% -2.71% -1.57% -2.15%
Max Increase   -2.07% -0.37% -6.31% -2.46% -9.35% -14.85% -13.51% -4.02% -4.75% -8.69% -6.08%
Avg Days to Max Increase   13 1 8 3 12 24 16 5 4 3 2
2014 Contract Condition   Yes   Yes Yes       Yes      
Action   Yes   No No       Yes      
High 107.65 110.60 105.70 106.63 103.06 104.40 105.72 112.24 110.66 110.03 111.14 112.80
Low 103.57 104.47 102.91 96.00 96.66 97.82 99.80 102.29 104.65 104.42 103.07 107.61
Close/Last 107.65 104.47 105.70 99.88 98.52 99.78 104.67 108.90 105.78 108.17 109.33 110.80

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