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