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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   19 19 19 22 22 22 24 24 24 25 25
Closed Higher   10 10 12 16 15 9 12 18 14 14 12
Exceeded High   9 10 12 15 13 8 12 17 11 11 4
Scenario Percentage   90% 100% 100% 94% 87% 89% 100% 94% 79% 79% 33%
Avg Max Increase   11.00% 11.34% 12.08% 9.66% 10.71% 10.21% 11.36% 15.28% 17.06% 8.65% 5.51%
Max Increase   20.24% 25.17% 24.34% 22.25% 33.88% 17.35% 19.80% 86.32% 53.95% 20.68% 7.88%
Avg Days To Max Increase   16 14 19 17 16 18 19 19 17 13 9
Avg Max Decline   -2.17% -2.85% -1.89% -3.13% -2.09% -1.66% -2.55% -1.64% -2.11% -4.27% -1.64%
Max Decline   -7.31% -9.48% -4.50% -9.24% -5.31% -4.93% -14.47% -10.12% -13.31% -13.18% -3.16%
Avg Days to Max Decline   7 7 9 7 8 7 7 6 8 6 1
2013 Contract Condition     Yes   Yes     Yes Yes Yes   Yes
Action     Yes   Yes     Yes Yes No   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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   19 19 19 22 22 22 24 24 24 25 25
Closed Lower   9 9 7 6 7 13 12 6 10 11 13
Penetrated Low   5 3 3 2 4 7 7 4 8 8 9
Scenario Percentage   56% 33% 43% 33% 57% 54% 58% 67% 80% 73% 69%
Avg Max Decline   13.70% 12.53% 7.34% 4.11% 10.19% 7.87% 7.51% 15.26% 13.87% 13.94% 8.06%
Max Decline   23.63% 16.55% 11.41% 6.89% 23.02% 13.95% 14.47% 28.79% 49.34% 49.18% 22.54%
Avg Days To Max Decline   16 13 12 4 19 16 14 15 20 11 10
Avg Max Increase   -4.21% -3.11% -1.08% -0.54% -3.80% -1.30% -1.38% -7.09% -4.00% -1.38% -2.59%
Max Increase   -7.63% -6.39% -2.61% -1.12% -7.61% -2.99% -6.20% -21.51% -15.64% -3.60% -6.19%
Avg Days to Max Increase   11 4 12 1 6 5 7 18 17 5 3
2013 Contract Condition   Yes   Yes   Yes Yes       Yes  
Action   No   Yes   No No       Yes  
High 106.25 106.46 108.98 112.24 106.72 108.30 103.80 105.19 107.06 114.44 113.28 111.30
Low 100.07 101.33 103.56 105.09 103.40 95.96 96.80 98.31 99.99 103.29 106.30 106.00
Close/Last 105.54 104.81 108.84 105.55 106.65 100.46 99.02 100.46 105.75 110.99 107.43 108.84

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