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