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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August Brent Crude Oil(ICE) as of Jan 01, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   21 21 21 24 24 24 25 26 26 26 26
Closed Higher   10 9 9 11 10 12 16 16 16 11 13
Exceeded High   9 7 7 9 9 11 16 15 15 8 11
Scenario Percentage   90% 78% 78% 82% 90% 92% 100% 94% 94% 73% 85%
Avg Max Increase   9.44% 10.09% 6.94% 6.84% 11.48% 11.94% 11.22% 10.39% 8.11% 11.01% 6.79%
Max Increase   28.49% 19.59% 12.62% 17.55% 21.87% 25.00% 29.20% 25.31% 29.92% 15.42% 10.97%
Avg Days To Max Increase   15 15 15 13 18 11 17 14 14 14 12
Avg Max Decline   -1.27% -1.22% -1.71% -2.10% -2.19% -2.39% -2.54% -3.20% -2.27% -1.51% -1.45%
Max Decline   -4.99% -4.53% -3.45% -8.39% -8.13% -10.75% -15.31% -10.48% -8.63% -4.63% -3.95%
Avg Days to Max Decline   7 6 13 7 7 6 9 9 7 6 4
2015 Contract Condition               Yes   Yes    
Action               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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   21 21 21 24 24 24 25 26 26 26 26
Closed Lower   11 12 12 13 14 12 9 10 10 15 13
Penetrated Low   7 10 10 10 9 5 4 5 5 10 6
Scenario Percentage   64% 83% 83% 77% 64% 42% 44% 50% 50% 67% 46%
Avg Max Decline   14.86% 12.75% 13.63% 12.25% 11.15% 10.63% 8.23% 5.01% 13.72% 9.60% 6.46%
Max Decline   43.27% 45.40% 36.95% 28.96% 23.91% 21.89% 14.91% 12.61% 25.51% 16.69% 13.35%
Avg Days To Max Decline   15 14 19 16 16 14 20 11 20 14 9
Avg Max Increase   -1.21% -0.45% -2.32% -1.46% -3.64% -2.98% -3.84% -1.07% -4.32% -1.88% -0.75%
Max Increase   -8.52% -3.78% -4.76% -10.66% -10.05% -6.85% -9.81% -1.79% -9.51% -3.62% -3.14%
Avg Days to Max Increase   10 8 7 9 8 4 14 8 6 5 2
2015 Contract Condition   Yes Yes Yes Yes Yes Yes   Yes   Yes Yes
Action   Yes Yes Yes Yes Yes No   No   Yes Yes
High 107.60 105.47 104.05 98.46 89.77 76.33 63.79 65.83 65.46 68.10 70.92 66.94
Low 104.84 103.03 97.44 86.65 73.29 60.94 52.32 56.42 55.58 56.87 61.86 61.35
Close/Last 105.36 103.97 97.47 89.29 73.65 62.86 58.06 65.63 57.96 67.99 66.14 63.59

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