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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, 2019
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   13 23 24 24 27 27 28 28 29 30 30
Closed Higher   5 14 17 15 12 15 17 16 17 15 15
Exceeded High   5 13 16 13 11 13 16 12 14 10 11
Scenario Percentage   100% 93% 94% 87% 92% 87% 94% 75% 82% 67% 73%
Avg Max Increase   6.08% 10.11% 9.79% 10.16% 8.37% 9.92% 9.91% 12.21% 9.32% 9.64% 7.98%
Max Increase   12.84% 21.82% 20.51% 33.83% 17.60% 22.05% 24.00% 31.02% 22.44% 15.37% 12.93%
Avg Days To Max Increase   17 20 16 11 16 18 19 16 12 20 20
Avg Max Decline   -1.95% -1.81% -2.58% -1.39% -1.80% -2.19% -1.64% -2.20% -2.55% -1.80% -1.52%
Max Decline   -8.94% -12.94% -8.86% -5.89% -6.13% -13.67% -9.19% -11.24% -10.89% -4.71% -4.04%
Avg Days to Max Decline   4 10 9 6 8 9 7 8 5 8 4
2018 Contract Condition     Yes         Yes   Yes Yes Yes
Action     No         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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   13 23 24 24 27 27 28 28 29 30 30
Closed Lower   8 9 7 8 15 12 10 12 12 15 15
Penetrated Low   4 3 4 4 8 8 9 9 10 14 12
Scenario Percentage   50% 33% 57% 50% 53% 67% 90% 75% 83% 93% 80%
Avg Max Decline   6.75% 6.49% 5.00% 10.65% 9.68% 9.93% 10.51% 13.68% 16.04% 17.99% 14.21%
Max Decline   14.86% 9.89% 11.34% 21.89% 19.70% 31.89% 27.96% 47.35% 51.70% 47.31% 34.87%
Avg Days To Max Decline   12 12 4 20 19 17 19 19 15 17 17
Avg Max Increase   -2.12% -0.45% -1.17% -3.18% -0.95% -1.82% -3.11% -3.28% -2.07% -2.27% -2.21%
Max Increase   -5.42% -2.07% -5.87% -6.31% -2.46% -9.35% -14.85% -13.51% -10.14% -4.75% -8.69%
Avg Days to Max Increase   3 13 4 12 4 10 15 15 5 3 3
2018 Contract Condition   Yes   Yes Yes Yes Yes   Yes      
Action   Yes   Yes Yes Yes No   No      
High 58.99 58.84 57.61 56.55 57.33 55.32 52.54 53.40 53.46 58.13 60.89 64.41
Low 56.03 55.92 55.91 51.35 52.14 48.01 46.15 47.59 49.89 52.21 54.66 59.75
Close/Last 58.61 56.43 56.72 54.15 53.06 51.89 50.07 53.23 53.01 56.43 60.66 62.63

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