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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, 2020
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 25 25 25 28 28 28 30 30 30 30
Closed Higher   13 12 11 14 12 15 17 19 20 13 15
Exceeded High   12 11 8 12 11 12 16 18 18 10 11
Scenario Percentage   92% 92% 73% 86% 92% 80% 94% 95% 90% 77% 73%
Avg Max Increase   8.58% 8.33% 7.01% 7.81% 10.01% 11.73% 10.88% 11.10% 9.85% 10.08% 7.52%
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 12 15 13 18 15 18 16 15 21 17
Avg Max Decline   -1.47% -0.85% -1.28% -1.74% -1.91% -2.87% -2.56% -3.08% -2.25% -2.80% -1.60%
Max Decline   -4.60% -3.75% -2.90% -8.81% -7.13% -10.38% -14.85% -9.71% -7.61% -7.60% -4.09%
Avg Days to Max Decline   7 4 6 7 6 6 8 8 6 8 4
2019 Contract Condition   Yes Yes       Yes Yes Yes Yes   Yes
Action   Yes Yes       Yes Yes Yes No   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 25 25 25 28 28 28 30 30 30 30
Closed Lower   8 13 14 11 16 13 11 11 10 17 15
Penetrated Low   6 11 13 7 10 5 4 6 6 12 8
Scenario Percentage   75% 85% 93% 64% 63% 38% 36% 55% 60% 71% 53%
Avg Max Decline   16.43% 12.13% 13.13% 20.67% 12.23% 10.64% 7.93% 6.49% 12.64% 10.32% 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 19 19 16 13 20 7 20 17 19
Avg Max Increase   -0.96% -0.69% -2.17% -0.16% -3.49% -2.46% -3.46% -1.39% -4.04% -1.56% -0.99%
Max Increase   -7.95% -7.93% -6.26% -7.22% -7.84% -6.72% -9.39% -6.01% -8.73% -3.50% -2.70%
Avg Days to Max Increase   9 6 7 2 7 3 14 3 9 6 2
2019 Contract Condition       Yes Yes Yes         Yes  
Action       Yes Yes No         Yes  
High 75.15 75.50 79.49 82.87 74.48 64.27 63.00 67.34 67.77 73.42 71.61 66.02
Low 70.03 70.18 73.56 74.44 59.00 51.43 53.76 60.47 63.77 66.85 60.56 58.42
Close/Last 72.66 74.96 79.45 74.44 59.94 54.92 60.89 66.09 66.72 70.91 61.16 64.74

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