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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   20 20 20 22 23 23 24 24 25 25 25
Closed Higher   13 15 10 10 9 12 11 13 16 15 16
Exceeded High   13 13 8 9 6 10 10 12 15 13 12
Scenario Percentage   100% 87% 80% 90% 67% 83% 91% 92% 94% 87% 75%
Avg Max Increase   10.13% 8.65% 11.84% 8.68% 7.04% 9.06% 11.81% 12.67% 13.02% 9.94% 5.99%
Max Increase   25.53% 16.40% 29.40% 20.85% 14.23% 23.40% 23.61% 30.09% 31.91% 16.79% 16.24%
Avg Days To Max Increase   18 18 19 14 17 16 19 13 15 8 8
Avg Max Decline   -1.61% -0.93% -1.54% -1.72% -1.98% -2.62% -3.73% -2.49% -2.11% -1.27% -0.90%
Max Decline   -12.64% -8.19% -6.48% -7.38% -3.68% -9.05% -13.99% -11.97% -5.51% -7.52% -3.16%
Avg Days to Max Decline   6 7 12 6 5 8 10 6 9 4 2
2014 Contract Condition   Yes Yes Yes   Yes Yes Yes   Yes   Yes
Action   Yes Yes No   Yes Yes No   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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   20 20 20 22 23 23 24 24 25 25 25
Closed Lower   7 5 10 12 14 11 13 11 9 10 9
Penetrated Low   5 4 7 10 11 8 8 7 4 6 3
Scenario Percentage   71% 80% 70% 83% 79% 73% 62% 64% 44% 60% 33%
Avg Max Decline   7.08% 11.76% 13.76% 13.14% 12.71% 13.08% 11.29% 11.58% 9.88% 8.61% 6.73%
Max Decline   12.92% 26.73% 44.80% 47.72% 39.33% 28.49% 23.45% 25.33% 17.04% 14.25% 7.89%
Avg Days To Max Decline   16 24 18 14 18 18 15 10 20 9 11
Avg Max Increase   -1.19% -3.89% -2.74% -0.60% -2.77% -1.10% -4.89% -2.35% -4.06% -0.96% -1.98%
Max Increase   -5.45% -10.80% -10.12% -2.84% -5.87% -11.77% -11.85% -7.09% -10.78% -1.72% -3.88%
Avg Days to Max Increase   8 24 14 4 8 10 12 4 19 1 1
2014 Contract Condition         Yes       Yes   Yes  
Action         Yes       Yes   Yes  
High 101.46 102.81 103.32 108.50 107.36 107.73 109.89 111.17 109.96 110.06 111.42 110.65
Low 95.37 96.51 98.11 100.54 102.21 102.15 102.40 106.74 104.20 103.92 105.26 103.96
Close/Last 97.44 98.42 102.75 105.77 103.36 106.24 108.29 109.50 104.97 108.31 107.65 108.07

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