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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   19 19 20 22 22 23 23 25 25 25 25
Closed Higher   15 13 8 13 15 13 13 12 13 12 14
Exceeded High   14 11 7 13 14 10 10 9 12 11 10
Scenario Percentage   93% 85% 88% 100% 93% 77% 77% 75% 92% 92% 71%
Avg Max Increase   8.29% 10.01% 10.24% 11.16% 9.67% 11.54% 9.75% 9.08% 9.95% 9.93% 5.63%
Max Increase   19.57% 34.33% 17.69% 27.26% 21.33% 30.49% 22.04% 15.29% 23.85% 18.14% 13.84%
Avg Days To Max Increase   17 13 17 19 18 18 15 21 16 9 7
Avg Max Decline   -1.97% -0.80% -1.30% -1.76% -1.05% -1.73% -1.89% -1.71% -2.93% -1.91% -0.89%
Max Decline   -8.68% -4.04% -3.50% -13.38% -8.95% -10.08% -9.44% -4.38% -9.25% -6.51% -3.22%
Avg Days to Max Decline   10 7 9 6 7 6 5 12 7 5 2
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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   19 19 20 22 22 23 23 25 25 25 25
Closed Lower   4 6 12 9 7 10 10 13 12 13 11
Penetrated Low   1 3 6 7 6 7 8 12 9 7 4
Scenario Percentage   25% 50% 50% 78% 86% 70% 80% 92% 75% 54% 36%
Avg Max Decline   1.23% 9.56% 7.32% 6.83% 9.69% 14.26% 14.50% 15.69% 17.21% 13.18% 6.41%
Max Decline   1.23% 21.38% 12.16% 14.24% 27.63% 46.39% 50.65% 44.54% 33.70% 33.48% 9.15%
Avg Days To Max Decline   2 19 18 14 18 21 13 17 19 13 8
Avg Max Increase   1.23% -2.66% -1.47% -0.85% -3.72% -3.87% -1.06% -4.10% -3.02% -5.22% -3.20%
Max Increase   1.23% -6.05% -3.06% -5.56% -13.38% -12.67% -4.07% -10.38% -12.11% -12.91% -7.74%
Avg Days to Max Increase   2 7 6 6 20 19 5 7 14 10 2
2014 Contract Condition     Yes Yes       Yes       Yes
Action     No No       Yes       Not Yet
High 109.98 105.28 106.17 102.67 104.03 105.05 111.28 109.68 109.40 110.73 112.44 111.07
Low 103.94 102.51 96.32 97.16 97.50 99.38 101.84 103.99 103.79 102.95 107.38 105.06
Close/Last 103.94 105.24 99.59 98.25 99.45 104.15 108.02 105.12 107.67 109.02 110.53 106.40

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