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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   19 19 19 21 22 22 24 24 24 24 24
Closed Higher   11 9 10 13 16 15 10 12 18 14 13
Exceeded High   9 9 9 13 15 14 7 12 17 11 9
Scenario Percentage   82% 100% 90% 100% 94% 93% 70% 100% 94% 79% 69%
Avg Max Increase   7.04% 10.83% 12.42% 11.41% 9.83% 10.01% 11.49% 11.79% 16.26% 17.49% 6.09%
Max Increase   16.96% 19.75% 24.71% 25.20% 22.91% 34.75% 16.93% 20.97% 95.55% 57.80% 11.04%
Avg Days To Max Increase   16 16 12 17 15 15 19 19 19 15 10
Avg Max Decline   -1.58% -1.59% -2.02% -1.45% -2.85% -1.71% -1.84% -2.72% -1.66% -2.47% -3.04%
Max Decline   -7.50% -6.67% -10.06% -3.69% -9.22% -5.78% -5.58% -14.81% -10.74% -14.30% -13.68%
Avg Days to Max Decline   8 7 8 8 7 7 8 9 5 9 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   19 19 19 21 22 22 24 24 24 24 24
Closed Lower   8 10 9 8 6 7 14 12 6 10 11
Penetrated Low   4 5 4 4 2 4 9 7 4 5 6
Scenario Percentage   50% 50% 44% 50% 33% 57% 64% 58% 67% 50% 55%
Avg Max Decline   15.53% 13.56% 10.04% 7.65% 4.55% 10.73% 8.32% 7.75% 15.83% 17.08% 9.04%
Max Decline   26.05% 23.84% 17.85% 12.38% 7.70% 23.65% 14.97% 15.53% 29.48% 39.36% 28.73%
Avg Days To Max Decline   19 16 11 16 4 19 18 14 15 12 6
Avg Max Increase   2.06% -3.59% -2.25% -0.88% 0.94% -3.64% -1.25% -1.56% -8.08% -2.20% -0.75%
Max Increase   -1.07% -6.67% -6.51% -2.53% 0.48% -7.45% -3.09% -6.29% -25.15% -5.54% -2.18%
Avg Days to Max Increase   2 11 4 10 1 6 7 7 18 12 2
2013 Contract Condition     Yes   Yes   Yes Yes       Yes
Action     No   Yes   No No       Yes
High 107.89 107.01 105.82 109.55 112.92 107.24 108.83 104.15 105.52 107.69 115.76 114.85
Low 102.05 101.03 101.78 104.85 105.70 103.88 96.20 97.07 98.65 100.37 103.89 107.22
Close/Last 102.58 105.94 105.24 109.47 106.14 107.18 100.77 99.30 100.85 106.32 112.32 108.37

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