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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   14 25 25 25 28 28 28 28 29 30 30
Closed Higher   9 17 13 12 12 13 12 13 18 19 19
Exceeded High   7 16 11 11 7 11 11 13 17 18 16
Scenario Percentage   78% 94% 85% 92% 58% 85% 92% 100% 94% 95% 84%
Avg Max Increase   7.05% 8.35% 10.44% 8.81% 7.73% 8.04% 10.38% 11.66% 11.87% 12.16% 6.38%
Max Increase   17.79% 21.34% 28.84% 20.55% 13.03% 17.74% 22.29% 27.51% 30.75% 26.78% 21.66%
Avg Days To Max Increase   17 17 14 12 21 15 17 14 18 15 13
Avg Max Decline   -2.47% -0.68% -1.47% -1.35% -1.73% -2.16% -2.25% -2.96% -2.80% -3.54% -1.75%
Max Decline   -11.06% -7.84% -5.52% -4.92% -3.43% -8.71% -8.65% -11.14% -15.72% -11.90% -8.53%
Avg Days to Max Decline   13 8 8 5 8 7 10 6 9 8 3
2019 Contract Condition   Yes   Yes Yes       Yes Yes Yes Yes
Action   Yes   Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   14 25 25 25 28 28 28 28 29 30 30
Closed Lower   5 8 12 13 16 15 15 14 11 11 11
Penetrated Low   3 8 7 10 14 12 10 7 4 7 6
Scenario Percentage   60% 100% 58% 77% 88% 80% 67% 50% 36% 64% 55%
Avg Max Decline   13.59% 9.34% 15.36% 14.22% 14.54% 15.21% 13.06% 10.29% 9.04% 7.28% 8.58%
Max Decline   28.05% 26.29% 43.96% 46.81% 38.13% 38.33% 26.91% 23.70% 16.15% 13.29% 13.69%
Avg Days To Max Decline   11 18 18 15 19 16 16 10 20 9 19
Avg Max Increase   0.05% -0.83% -1.40% -1.63% -1.86% -1.85% -3.97% -2.56% -4.15% -1.58% -2.53%
Max Increase   -4.95% -9.00% -9.03% -8.68% -5.07% -11.24% -11.11% -6.98% -10.44% -5.95% -5.72%
Avg Days to Max Increase   8 14 10 5 7 7 10 3 14 8 3
2019 Contract Condition     Yes     Yes Yes Yes        
Action     Yes     Yes Yes No        
High 75.24 74.78 75.68 76.07 80.60 84.11 74.83 64.43 63.08 67.59 68.21 74.75
Low 67.63 69.69 70.60 70.55 73.62 74.42 58.88 51.24 53.56 60.58 63.91 67.21
Close/Last 73.55 74.78 73.19 75.57 80.24 74.81 59.99 54.76 60.99 66.23 67.21 72.06

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