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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   14 24 25 25 27 28 28 29 30 30 30
Closed Higher   10 16 11 16 16 16 16 12 15 15 16
Exceeded High   9 13 10 14 16 12 13 8 14 14 12
Scenario Percentage   90% 81% 91% 88% 100% 75% 81% 67% 93% 93% 75%
Avg Max Increase   10.39% 9.83% 8.57% 9.92% 8.45% 11.07% 9.07% 8.17% 9.88% 11.63% 9.00%
Max Increase   18.62% 32.37% 17.73% 26.05% 19.09% 29.92% 21.56% 15.12% 23.87% 26.35% 18.46%
Avg Days To Max Increase   16 12 16 17 17 15 11 19 15 17 18
Avg Max Decline   -0.58% -0.88% -1.49% -1.82% -1.31% -1.91% -1.66% -1.81% -2.59% -4.27% -1.97%
Max Decline   -6.95% -5.27% -5.94% -12.99% -8.42% -8.52% -8.77% -4.02% -9.20% -17.83% -7.24%
Avg Days to Max Decline   6 5 10 5 7 6 5 6 6 11 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   14 24 25 25 27 28 28 29 30 30 30
Closed Lower   4 8 14 9 10 12 12 17 15 15 14
Penetrated Low   2 4 10 6 9 9 10 15 12 10 6
Scenario Percentage   50% 50% 71% 67% 90% 75% 83% 88% 80% 67% 43%
Avg Max Decline   5.29% 9.94% 7.70% 11.17% 9.71% 13.08% 14.86% 17.24% 19.36% 14.68% 11.89%
Max Decline   8.38% 20.66% 18.43% 30.53% 27.27% 45.74% 49.60% 42.24% 40.21% 27.77% 17.78%
Avg Days To Max Decline   4 19 16 16 18 20 15 18 18 15 16
Avg Max Increase   -2.52% -3.12% -1.18% -0.95% -2.67% -2.97% -1.92% -2.46% -3.37% -5.13% -3.26%
Max Increase   -5.27% -5.85% -3.72% -5.52% -12.39% -12.21% -9.45% -9.01% -14.34% -14.29% -7.51%
Avg Days to Max Increase   7 11 7 7 15 14 5 7 11 7 5
2019 Contract Condition           Yes     Yes Yes Yes  
Action           Yes     Yes Yes No  
High 64.91 65.92 70.05 76.56 76.52 77.22 77.07 81.83 85.27 75.08 64.08 62.99
Low 59.16 60.54 63.44 68.40 70.25 70.79 70.75 74.30 74.63 58.25 50.48 52.76
Close/Last 61.16 65.22 70.05 74.69 76.20 73.91 76.38 81.24 75.08 59.69 54.02 60.84

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