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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Brent Crude Oil(ICE) as of Jan 01, 2018
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   12 22 23 23 26 26 26 27 27 28 28
Closed Higher   8 10 15 15 15 12 11 13 12 15 18
Exceeded High   7 9 13 14 12 10 7 11 11 13 14
Scenario Percentage   88% 90% 87% 93% 80% 83% 64% 85% 92% 87% 78%
Avg Max Increase   11.69% 8.77% 9.95% 8.41% 9.76% 8.78% 7.45% 9.49% 12.04% 14.64% 9.09%
Max Increase   32.73% 16.30% 24.89% 17.56% 29.43% 21.10% 14.65% 23.89% 24.67% 32.80% 21.83%
Avg Days To Max Increase   15 18 18 15 16 13 19 15 18 13 15
Avg Max Decline   -1.23% -0.60% -1.34% -0.93% -1.32% -1.56% -1.75% -2.45% -3.66% -2.60% -1.40%
Max Decline   -5.39% -3.56% -11.46% -8.19% -7.43% -8.00% -3.80% -9.12% -13.71% -12.55% -4.76%
Avg Days to Max Decline   11 7 7 6 9 5 8 7 10 8 4
2017 Contract Condition   Yes Yes Yes   Yes Yes   Yes Yes   Yes
Action   Yes Yes No   Yes Yes   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   12 22 23 23 26 26 26 27 27 28 28
Closed Lower   4 12 8 8 11 14 15 14 15 13 10
Penetrated Low   2 5 6 7 9 12 12 11 10 8 4
Scenario Percentage   50% 42% 75% 88% 82% 86% 80% 79% 67% 62% 40%
Avg Max Decline   12.33% 9.18% 10.79% 10.94% 12.85% 13.56% 15.35% 18.98% 14.11% 12.10% 6.54%
Max Decline   19.99% 17.98% 29.83% 27.01% 45.15% 48.62% 40.58% 39.59% 27.46% 26.99% 17.82%
Avg Days To Max Decline   19 22 15 19 20 17 20 17 16 11 18
Avg Max Increase   -0.20% -1.05% -0.36% -2.50% -2.45% -2.02% -2.30% -2.77% -4.65% -2.56% -1.99%
Max Increase   -0.21% -1.98% -5.47% -11.39% -11.11% -9.15% -6.78% -15.55% -12.81% -7.28% -4.89%
Avg Days to Max Increase   2 5 5 15 15 8 5 11 10 3 9
2017 Contract Condition         Yes     Yes     Yes  
Action         Yes     Yes     Yes  
High 46.88 50.30 52.76 54.69 54.01 53.54 52.57 55.93 54.00 59.09 59.53 57.74
Low 42.85 41.92 47.22 49.92 45.81 44.85 47.71 50.76 46.82 53.12 54.72 54.74
Close/Last 45.10 49.91 52.27 52.67 46.81 49.22 52.51 50.94 53.52 58.04 55.91 56.51

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