MRCI's ScenarioSM Study

ScenarioSM Study for October Brent Crude Oil(ICE) as of Jan 01, 2016
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		21	21	21	24	24	24	26	26	26	26	26
Closed Higher		9	12	11	13	15	16	17	11	13	18	15
Exceeded High		7	10	10	10	15	15	16	8	12	16	8
Scenario Percentage		78%	83%	91%	77%	100%	94%	94%	73%	92%	89%	53%
Avg Max Increase		6.35%	6.77%	9.86%	12.33%	10.53%	10.14%	9.72%	11.13%	12.20%	13.93%	10.80%
Max Increase		11.70%	17.15%	20.16%	24.68%	26.11%	23.63%	36.25%	16.52%	22.19%	57.97%	17.76%
Avg Days To Max Increase		11	13	19	12	17	15	15	22	19	12	11
Avg Max Decline		-0.95%	-1.77%	-2.50%	-2.05%	-2.25%	-2.96%	-1.72%	-1.93%	-3.00%	-1.49%	-0.54%
Max Decline		-2.76%	-8.31%	-6.90%	-9.77%	-14.45%	-9.23%	-6.43%	-6.28%	-15.02%	-11.37%	-3.71%
Avg Days to Max Decline		3	11	8	9	9	7	6	7	9	3	3
2015 Contract Condition						Yes		Yes				Yes
Action						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		21	21	21	24	24	24	26	26	26	26	26
Closed Lower		11	9	10	11	8	8	9	15	13	8	11
Penetrated Low		9	5	6	4	4	3	5	10	9	5	5
Scenario Percentage		82%	56%	60%	36%	50%	38%	56%	67%	69%	63%	45%
Avg Max Decline		13.76%	18.21%	14.02%	10.34%	7.65%	4.25%	10.92%	10.23%	10.61%	14.28%	8.98%
Max Decline		35.75%	27.39%	24.04%	19.07%	13.22%	8.23%	24.31%	22.08%	34.70%	23.00%	15.54%
Avg Days To Max Decline		17	18	15	11	18	3	19	18	14	12	11
Avg Max Increase		-1.87%	2.07%	-3.19%	-2.37%	-3.30%	-0.36%	-3.49%	-1.51%	-1.35%	-1.81%	-1.21%
Max Increase		-4.72%	-3.43%	-6.82%	-6.61%	-9.13%	-1.02%	-8.14%	-3.38%	-6.60%	-4.22%	-2.02%
Avg Days to Max Increase		8	1	9	4	13	1	7	5	8	14	2
2015 Contract Condition		Yes	Yes	Yes	Yes		Yes		Yes	Yes	Yes
Action		Yes	Yes	Yes	No		No		Yes	Yes	Yes
High	103.58	97.98	89.19	76.95	64.65	67.04	66.77	69.01	71.68	67.93	64.35	54.32
Low	97.48	87.80	74.40	62.29	54.02	58.06	57.27	58.57	62.83	62.61	52.24	42.23
Close/Last	97.48	89.67	74.40	64.16	59.72	66.94	59.53	68.88	67.04	64.67	52.85	54.15