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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, 2020
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   14 24 25 25 28 28 28 29 29 30 30
Closed Higher   9 11 16 16 16 14 12 14 13 17 19
Exceeded High   8 10 14 15 13 12 8 12 12 15 15
Scenario Percentage   89% 91% 88% 94% 81% 86% 67% 86% 92% 88% 79%
Avg Max Increase   11.53% 8.23% 9.34% 8.37% 9.90% 8.84% 7.80% 9.85% 11.58% 13.47% 8.64%
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 17 17 16 15 12 20 16 18 14 15
Avg Max Decline   -1.41% -1.08% -1.45% -1.26% -1.43% -1.58% -1.71% -2.41% -3.43% -2.99% -1.54%
Max Decline   -5.39% -5.44% -11.46% -8.19% -7.43% -8.00% -3.80% -9.12% -13.71% -12.55% -4.76%
Avg Days to Max Decline   10 9 7 7 8 5 7 7 9 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   14 24 25 25 28 28 28 29 29 30 30
Closed Lower   5 13 9 9 12 14 16 15 16 13 11
Penetrated Low   3 6 6 7 9 12 13 12 10 8 4
Scenario Percentage   60% 46% 67% 78% 75% 86% 81% 80% 63% 62% 36%
Avg Max Decline   11.82% 9.15% 10.79% 10.94% 12.85% 13.56% 16.66% 18.66% 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   20 22 15 19 20 17 20 18 16 11 18
Avg Max Increase   -1.22% -0.84% -0.36% -2.50% -2.45% -2.02% -2.13% -3.15% -4.65% -2.56% -1.99%
Max Increase   -3.24% -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   9 4 5 15 15 8 4 11 10 3 9
2019 Contract Condition         Yes     Yes Yes Yes    
Action         No     Yes Yes No    
High 65.29 69.56 76.77 75.70 76.79 76.78 81.52 84.93 75.05 64.23 63.05 67.84
Low 60.29 63.25 67.74 70.26 70.59 70.59 74.09 74.60 58.45 50.77 53.08 60.54
Close/Last 64.87 69.56 74.30 75.70 73.69 76.12 80.94 75.05 59.83 54.31 60.93 66.31

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