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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, 2020
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   14 25 25 25 28 28 28 30 30 30 30
Closed Higher   5 11 14 13 15 17 19 20 13 15 20
Exceeded High   5 8 12 12 12 16 18 18 9 14 16
Scenario Percentage   100% 73% 86% 92% 80% 94% 95% 90% 69% 93% 80%
Avg Max Increase   9.14% 6.77% 7.56% 8.89% 11.43% 10.53% 11.19% 9.74% 10.55% 10.31% 11.29%
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   13 13 13 18 14 17 17 15 20 16 15
Avg Max Decline   -0.47% -0.99% -1.67% -2.31% -2.59% -2.33% -3.11% -2.08% -1.98% -3.10% -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   6 3 10 7 8 9 6 6 7 8 2
2019 Contract Condition   Yes       Yes Yes Yes Yes   Yes Yes
Action   Yes       Yes Yes Yes No   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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   14 25 25 25 28 28 28 30 30 30 30
Closed Lower   9 13 11 12 13 10 9 10 17 15 10
Penetrated Low   7 11 7 7 5 4 4 6 12 10 6
Scenario Percentage   78% 85% 64% 58% 38% 40% 44% 60% 71% 67% 60%
Avg Max Decline   14.33% 14.60% 20.17% 15.74% 10.28% 7.65% 6.27% 11.59% 9.97% 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 18 19 16 14 18 4 19 17 13 14
Avg Max Increase   -0.43% -1.34% 0.47% -3.16% -2.46% -3.30% -1.77% -3.68% -1.49% -1.44% -0.90%
Max Increase   -6.92% -4.72% -7.13% -6.82% -6.61% -9.13% -5.98% -8.14% -3.38% -6.60% -3.25%
Avg Days to Max Increase   4 6 2 8 4 13 4 10 5 8 3
2019 Contract Condition     Yes Yes Yes         Yes    
Action     Yes Yes No         Yes    
High 75.08 79.06 82.44 72.74 64.18 62.98 67.16 67.57 72.86 70.96 65.60 67.27
Low 69.79 73.56 74.22 59.40 51.72 53.90 60.47 63.70 66.63 60.07 57.80 60.97
Close/Last 74.66 79.06 74.22 59.91 54.98 60.82 65.97 66.51 70.42 60.67 64.35 65.05

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