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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, 2020
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 Feb
Tested Years   14 24 25 25 28 28 29 29 30 31 31
Closed Higher   6 15 18 16 12 16 18 16 18 16 15
Exceeded High   6 14 17 13 11 14 17 12 14 10 11
Scenario Percentage   100% 93% 94% 81% 92% 88% 94% 75% 78% 63% 73%
Avg Max Increase   6.78% 10.00% 9.69% 10.16% 8.37% 9.50% 9.75% 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   18 20 16 11 16 17 19 16 12 20 20
Avg Max Decline   -1.60% -1.89% -2.41% -1.39% -1.80% -2.28% -2.32% -2.20% -2.55% -1.80% -1.52%
Max Decline   -8.94% -12.94% -8.86% -5.89% -6.13% -13.67% -13.19% -11.24% -10.89% -4.71% -4.04%
Avg Days to Max Decline   5 10 9 6 8 9 7 8 5 8 4
2019 Contract Condition   Yes   Yes Yes Yes Yes   Yes Yes    
Action   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Feb
Tested Years   14 24 25 25 28 28 29 29 30 31 31
Closed Lower   8 9 7 8 16 12 10 13 12 15 16
Penetrated Low   4 3 4 4 9 8 9 9 10 14 12
Scenario Percentage   50% 33% 57% 50% 56% 67% 90% 69% 83% 93% 75%
Avg Max Decline   6.75% 6.49% 5.00% 10.65% 9.12% 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 17 17 19 19 15 17 17
Avg Max Increase   -2.12% -0.45% -1.17% -3.18% -1.02% -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 3 10 15 15 5 3 3
2019 Contract Condition     Yes         Yes     Yes Yes
Action     No         Yes     Yes Yes
High 62.98 66.15 65.70 66.41 71.77 77.79 77.51 78.02 77.59 82.46 85.89 75.03
Low 58.80 62.92 59.27 60.53 63.83 69.25 70.79 71.05 70.95 74.74 74.61 57.78
Close/Last 62.98 65.09 61.71 65.94 71.04 75.41 77.20 74.26 76.88 81.83 75.06 59.46

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