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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Brent Crude Oil(ICE) as of Dec 30, 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   18 22 22 22 25 25 25 27 27 27 27
Closed Higher   10 9 10 12 10 13 15 17 18 12 13
Exceeded High   9 8 7 10 9 10 15 16 17 10 10
Scenario Percentage   90% 89% 70% 83% 90% 77% 100% 94% 94% 83% 77%
Avg Max Increase   7.61% 8.59% 6.59% 7.03% 11.30% 12.66% 10.87% 10.74% 9.92% 9.68% 7.31%
Max Increase   28.15% 19.43% 11.95% 17.34% 21.37% 24.34% 27.55% 24.51% 37.42% 16.11% 11.71%
Avg Days To Max Increase   14 14 13 13 19 13 17 15 15 21 16
Avg Max Decline   -1.35% -0.92% -1.28% -1.86% -2.02% -2.36% -2.50% -3.26% -2.22% -2.80% -1.35%
Max Decline   -4.60% -3.75% -2.90% -8.81% -7.13% -10.38% -14.85% -9.71% -7.61% -7.60% -3.19%
Avg Days to Max Decline   9 5 7 7 7 6 9 9 6 8 4
2016 Contract Condition   Yes   Yes         Yes Yes Yes  
Action   No   No         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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   18 22 22 22 25 25 25 27 27 27 27
Closed Lower   8 13 12 10 15 12 10 10 9 15 14
Penetrated Low   6 11 11 6 10 4 4 5 5 10 8
Scenario Percentage   75% 85% 92% 60% 67% 33% 40% 50% 56% 67% 57%
Avg Max Decline   16.43% 12.13% 12.05% 21.75% 12.23% 10.73% 7.93% 5.26% 12.12% 10.67% 9.43%
Max Decline   41.98% 44.60% 36.28% 37.04% 26.30% 20.26% 13.85% 9.28% 24.86% 21.51% 18.49%
Avg Days To Max Decline   20 14 19 18 16 11 20 8 20 18 19
Avg Max Increase   -0.96% -0.69% -2.45% 1.02% -3.49% -2.36% -3.46% -0.46% -3.88% -1.59% -0.99%
Max Increase   -7.95% -7.93% -6.26% -3.63% -7.84% -6.72% -9.39% -1.21% -8.73% -3.50% -2.70%
Avg Days to Max Increase   9 6 8 1 7 4 14 1 6 7 2
2016 Contract Condition     Yes   Yes Yes Yes Yes       Yes
Action     Yes   Yes Yes No No       Yes
High 66.95 60.63 57.23 58.36 56.46 50.05 43.83 40.05 44.14 48.92 51.30 53.30
Low 59.03 49.79 53.15 52.17 49.16 41.19 31.33 33.86 38.56 38.29 44.43 47.30
Close/Last 59.03 60.63 54.07 55.39 49.76 42.51 39.81 39.09 41.74 48.09 50.29 49.71

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