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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 Jan 01, 2018
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   19 23 23 23 26 26 26 28 28 28 28
Closed Higher   11 10 10 13 11 13 16 17 18 12 13
Exceeded High   10 9 7 11 10 10 15 16 17 10 10
Scenario Percentage   91% 90% 70% 85% 91% 77% 94% 94% 94% 83% 77%
Avg Max Increase   8.21% 8.37% 6.59% 7.34% 10.40% 12.66% 10.87% 10.74% 9.92% 10.08% 7.82%
Max Increase   28.15% 19.43% 11.95% 17.34% 21.37% 24.34% 27.55% 24.51% 37.42% 16.11% 14.00%
Avg Days To Max Increase   14 13 13 12 18 13 17 15 15 21 17
Avg Max Decline   -1.50% -0.79% -1.28% -1.77% -2.04% -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   8 5 7 6 6 6 9 9 6 8 4
2017 Contract Condition   Yes Yes   Yes Yes   Yes        
Action   Yes Yes   Yes Yes   No        
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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   19 23 23 23 26 26 26 28 28 28 28
Closed Lower   8 13 13 10 15 13 10 11 10 16 15
Penetrated Low   6 11 12 6 10 5 4 6 6 11 8
Scenario Percentage   75% 85% 92% 60% 67% 38% 40% 55% 60% 69% 53%
Avg Max Decline   16.43% 12.13% 11.65% 21.75% 12.23% 10.64% 7.93% 6.49% 12.64% 10.85% 9.63%
Max Decline   41.98% 44.60% 36.28% 37.04% 26.30% 20.26% 13.85% 12.66% 24.86% 21.51% 18.49%
Avg Days To Max Decline   20 14 18 18 16 13 20 7 20 18 19
Avg Max Increase   -0.96% -0.69% -2.35% 1.02% -3.49% -2.46% -3.46% -1.39% -4.04% -1.57% -0.99%
Max Increase   -7.95% -7.93% -6.26% -3.63% -7.84% -6.72% -9.39% -6.01% -8.73% -3.50% -2.70%
Avg Days to Max Increase   9 6 7 1 7 3 14 3 9 6 2
2017 Contract Condition       Yes     Yes   Yes Yes Yes Yes
Action       Yes     Yes   Yes Yes Yes Not Yet
High 54.89 54.26 53.59 57.12 54.91 59.19 60.18 58.20 57.56 57.34 55.14 51.78
Low 47.66 46.53 48.90 52.19 48.41 53.97 55.78 55.48 50.75 51.61 47.24 44.60
Close/Last 48.17 50.30 53.59 52.19 54.46 58.84 56.58 57.11 54.09 52.60 51.09 48.77

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