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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 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   11 22 22 22 25 25 25 27 27 27 27
Closed Higher   2 10 12 11 13 15 17 18 12 13 18
Exceeded High   2 7 10 10 10 15 16 17 9 12 15
Scenario Percentage   100% 70% 83% 91% 77% 100% 94% 94% 75% 92% 83%
Avg Max Increase   12.57% 6.35% 6.77% 9.86% 12.33% 10.53% 10.87% 9.78% 10.55% 12.09% 12.18%
Max Increase   19.36% 11.70% 17.15% 20.16% 24.68% 26.11% 23.63% 36.25% 16.52% 21.33% 55.97%
Avg Days To Max Increase   17 11 13 19 12 17 16 15 20 19 16
Avg Max Decline   -1.85% -0.95% -1.77% -2.50% -2.05% -2.25% -3.29% -2.04% -1.98% -3.00% -0.83%
Max Decline   -1.90% -2.76% -8.31% -6.90% -9.77% -14.45% -9.23% -7.18% -6.28% -15.02% -2.85%
Avg Days to Max Decline   11 3 11 8 9 9 7 7 7 9 2
2016 Contract Condition     Yes         Yes Yes Yes    
Action     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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   11 22 22 22 25 25 25 27 27 27 27
Closed Lower   9 11 10 11 12 9 8 9 15 14 9
Penetrated Low   7 9 6 7 4 4 3 5 10 10 5
Scenario Percentage   78% 82% 60% 64% 33% 44% 38% 56% 67% 71% 56%
Avg Max Decline   14.33% 13.76% 21.25% 15.74% 10.34% 7.65% 4.25% 10.92% 10.23% 11.27% 10.53%
Max Decline   43.76% 35.75% 36.49% 26.03% 19.07% 13.22% 8.23% 24.31% 22.08% 34.70% 20.09%
Avg Days To Max Decline   16 17 18 16 11 18 3 19 18 13 14
Avg Max Increase   -0.43% -1.87% 1.73% -3.16% -2.37% -3.30% -0.36% -3.49% -1.51% -1.44% -0.89%
Max Increase   -6.92% -4.72% -3.43% -6.82% -6.61% -9.13% -1.02% -8.14% -3.38% -6.60% -3.25%
Avg Days to Max Increase   4 8 1 8 4 13 1 7 5 8 3
2016 Contract Condition   Yes   Yes Yes Yes Yes       Yes Yes
Action   Yes   Yes Yes No No       Yes Yes
High 61.01 57.62 58.23 56.85 50.24 44.43 40.24 44.52 49.16 51.55 53.56 51.29
Low 50.26 53.71 53.12 49.89 41.78 31.92 34.54 39.12 38.78 44.87 47.77 42.52
Close/Last 61.01 54.46 55.82 50.26 43.15 40.39 39.66 42.27 48.34 50.58 50.16 43.53

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