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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, 2019
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   13 24 24 24 27 27 27 29 29 29 29
Closed Higher   4 11 14 13 14 16 18 19 13 14 19
Exceeded High   4 8 12 12 11 15 17 18 9 13 16
Scenario Percentage   100% 73% 86% 92% 79% 94% 94% 95% 69% 93% 84%
Avg Max Increase   10.35% 6.77% 7.56% 8.89% 11.46% 10.53% 11.29% 9.74% 10.55% 11.20% 11.53%
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   16 13 13 18 13 17 16 15 20 18 16
Avg Max Decline   -1.20% -0.99% -1.67% -2.31% -2.77% -2.25% -3.30% -2.08% -1.98% -3.03% -1.00%
Max Decline   -2.32% -2.76% -8.31% -6.90% -10.00% -14.45% -9.23% -7.18% -6.28% -15.02% -3.49%
Avg Days to Max Decline   7 3 10 7 9 9 7 6 7 9 2
2018 Contract Condition   Yes Yes Yes Yes Yes   Yes Yes Yes Yes  
Action   Yes Yes 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   13 24 24 24 27 27 27 29 29 29 29
Closed Lower   9 12 10 11 13 10 9 10 16 15 10
Penetrated Low   7 10 6 7 5 4 4 6 11 10 6
Scenario Percentage   78% 83% 60% 64% 38% 40% 44% 60% 69% 67% 60%
Avg Max Decline   14.33% 13.03% 21.25% 15.74% 10.28% 7.65% 6.27% 11.59% 10.44% 11.27% 9.65%
Max Decline   43.76% 35.75% 36.49% 26.03% 19.07% 13.22% 12.35% 24.31% 22.08% 34.70% 20.09%
Avg Days To Max Decline   16 17 18 16 14 18 4 19 18 13 14
Avg Max Increase   -0.43% -1.68% 1.73% -3.16% -2.46% -3.30% -1.77% -3.68% -1.49% -1.44% -0.90%
Max Increase   -6.92% -4.72% -3.43% -6.82% -6.61% -9.13% -5.98% -8.14% -3.38% -6.60% -3.25%
Avg Days to Max Increase   4 7 1 8 4 13 4 10 5 8 3
2018 Contract Condition             Yes         Yes
Action             No         Yes
High 53.64 56.86 58.92 61.82 64.62 68.21 67.71 68.53 73.89 79.59 79.18 79.25
Low 50.81 53.21 54.29 58.15 59.73 64.00 60.04 61.65 65.11 71.01 71.76 71.30
Close/Last 53.64 55.58 58.92 60.52 64.39 66.71 63.07 67.49 73.04 76.90 78.86 74.21

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