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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Brent Crude Oil(ICE) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   19 19 19 22 22 22 24 24 24 24 24
Closed Higher   8 11 10 13 13 16 16 10 12 18 14
Exceeded High   6 9 10 10 13 15 15 7 12 16 8
Scenario Percentage   75% 82% 100% 77% 100% 94% 94% 70% 100% 89% 57%
Avg Max Increase   6.66% 7.30% 9.86% 12.33% 11.74% 10.14% 10.10% 11.78% 12.20% 13.67% 10.28%
Max Increase   11.70% 17.15% 20.16% 24.68% 26.11% 23.63% 36.25% 16.52% 22.19% 56.17% 17.57%
Avg Days To Max Increase   12 14 19 12 17 15 16 21 19 11 10
Avg Max Decline   -0.65% -2.12% -2.50% -2.05% -1.51% -2.96% -1.74% -2.02% -3.00% -1.49% -0.54%
Max Decline   -1.25% -8.31% -6.90% -9.77% -3.85% -9.23% -6.43% -6.28% -15.02% -11.37% -3.71%
Avg Days to Max Decline   3 12 8 9 9 7 7 8 9 3 3
2013 Contract Condition     Yes   Yes   Yes     Yes Yes Yes
Action     Yes   Yes   Yes     Yes Yes Not Yet
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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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   19 19 19 22 22 22 24 24 24 24 24
Closed Lower   10 8 9 9 8 6 8 14 12 6 10
Penetrated Low   8 4 5 3 4 2 5 9 8 3 3
Scenario Percentage   80% 50% 56% 33% 50% 33% 63% 64% 67% 50% 30%
Avg Max Decline   11.66% 15.91% 13.67% 13.53% 7.65% 4.85% 10.92% 8.91% 7.59% 14.04% 10.48%
Max Decline   35.75% 26.19% 24.04% 19.07% 13.22% 8.23% 24.31% 16.15% 16.78% 23.00% 15.54%
Avg Days To Max Decline   15 19 16 13 18 4 19 16 13 8 9
Avg Max Increase   -2.17% 3.45% -3.68% -3.08% -3.30% -0.55% -3.49% -1.53% -1.58% -2.89% -1.31%
Max Increase   -4.72% -0.31% -6.82% -6.61% -9.13% -1.02% -8.14% -3.38% -6.60% -4.22% -2.01%
Avg Days to Max Increase   8 1 10 5 13 1 7 5 9 20 1
2013 Contract Condition   Yes   Yes   Yes   Yes Yes      
Action   Yes   No   Yes   No No      
High 110.25 108.39 106.72 106.24 110.19 113.61 107.78 109.38 104.48 105.93 108.33 117.34
Low 102.58 102.48 101.35 102.17 104.54 106.30 104.35 96.38 97.31 98.90 100.76 104.59
Close/Last 106.02 103.03 106.36 105.73 110.11 106.74 107.72 101.06 99.58 101.26 106.91 114.01

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