MRCI's ScenarioSM Study

ScenarioSM Study for November 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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		11	22	22	22	24	25	25	27	27	27	27
Closed Higher		5	12	10	10	15	17	17	12	13	18	16
Exceeded High		4	10	9	9	15	16	16	9	12	17	9
Scenario Percentage		80%	83%	90%	90%	100%	94%	94%	75%	92%	94%	56%
Avg Max Increase		5.22%	6.53%	10.83%	12.42%	10.23%	10.53%	9.68%	10.30%	11.79%	16.20%	16.32%
Max Increase		7.30%	16.96%	19.75%	24.71%	25.20%	22.91%	34.75%	16.93%	20.97%	95.55%	50.87%
Avg Days To Max Increase		9	14	16	12	17	16	14	18	19	17	19
Avg Max Decline		-1.23%	-1.28%	-1.59%	-2.02%	-2.18%	-3.18%	-2.01%	-1.83%	-2.72%	-1.66%	-0.37%
Max Decline		-2.62%	-7.50%	-6.67%	-10.06%	-14.05%	-9.22%	-6.86%	-5.58%	-14.81%	-10.74%	-3.50%
Avg Days to Max Decline		3	7	7	8	8	7	7	7	9	5	4
2016 Contract Condition		Yes					Yes	Yes	Yes			Yes
Action		No					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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		11	22	22	22	24	25	25	27	27	27	27
Closed Lower		6	10	12	12	9	8	8	15	14	9	11
Penetrated Low		4	6	7	5	4	3	4	10	9	7	5
Scenario Percentage		67%	60%	58%	42%	44%	38%	50%	67%	64%	78%	45%
Avg Max Decline		17.29%	20.70%	15.47%	8.18%	7.65%	4.02%	10.73%	9.63%	11.70%	14.02%	12.26%
Max Decline		35.28%	35.98%	25.74%	17.85%	12.38%	7.70%	23.65%	21.51%	34.02%	29.48%	22.95%
Avg Days To Max Decline		21	18	16	9	16	3	19	19	13	16	21
Avg Max Increase		-2.03%	0.88%	-2.64%	-1.86%	-0.88%	0.62%	-3.64%	-1.25%	-1.41%	-4.78%	-1.35%
Max Increase		-4.76%	-2.97%	-6.67%	-6.51%	-2.53%	-0.01%	-7.45%	-3.09%	-6.29%	-25.15%	-2.59%
Avg Days to Max Increase		2	1	9	3	10	1	6	7	6	12	5
2016 Contract Condition			Yes	Yes	Yes	Yes				Yes	Yes
Action			Yes	Yes	No	No				Yes	Yes
High	58.72	58.40	57.32	50.77	44.30	40.79	44.93	49.39	51.78	53.81	51.73	51.48
Low	54.13	53.58	50.62	42.47	32.51	35.21	39.65	39.26	45.24	48.13	42.95	41.93
Close/Last	54.85	56.26	50.78	43.78	40.96	40.20	42.76	48.57	50.86	50.54	43.98	46.89