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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, 2020
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   21 25 25 25 28 28 28 30 30 30 31
Closed Higher   11 13 12 16 19 19 12 15 20 17 18
Exceeded High   10 11 12 15 18 16 10 14 19 13 13
Scenario Percentage   91% 85% 100% 94% 95% 84% 83% 93% 95% 76% 72%
Avg Max Increase   7.57% 9.73% 10.59% 10.61% 10.69% 10.21% 9.38% 10.10% 14.77% 16.41% 7.27%
Max Increase   16.86% 20.24% 25.17% 24.34% 22.25% 33.88% 17.35% 19.80% 86.32% 53.95% 14.72%
Avg Days To Max Increase   14 16 15 19 18 16 17 18 19 16 15
Avg Max Decline   -2.40% -2.02% -3.26% -2.65% -3.24% -2.36% -1.67% -2.67% -2.51% -2.26% -2.21%
Max Decline   -8.69% -7.31% -9.86% -13.88% -9.24% -6.57% -4.93% -14.47% -13.69% -13.31% -12.61%
Avg Days to Max Decline   7 6 7 9 7 8 6 6 7 9 3
2019 Contract Condition       Yes Yes Yes Yes   Yes Yes   Yes
Action       Yes Yes Yes No   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   21 25 25 25 28 28 28 30 30 30 31
Closed Lower   10 12 13 9 9 9 16 15 10 13 13
Penetrated Low   6 7 5 3 4 5 10 9 8 9 9
Scenario Percentage   60% 58% 38% 33% 44% 56% 63% 60% 80% 69% 69%
Avg Max Decline   20.96% 15.61% 9.60% 7.34% 5.70% 10.98% 9.28% 11.41% 12.62% 14.42% 11.07%
Max Decline   35.56% 25.56% 16.55% 11.41% 11.76% 23.02% 20.92% 33.34% 28.79% 49.34% 40.72%
Avg Days To Max Decline   18 16 14 12 4 19 17 13 16 19 15
Avg Max Increase   -1.52% -3.63% -2.48% -1.08% -1.76% -3.94% -1.33% -1.29% -3.85% -3.56% -1.88%
Max Increase   -7.05% -7.63% -6.39% -2.61% -5.94% -7.61% -2.99% -6.20% -21.51% -15.64% -10.83%
Avg Days to Max Increase   2 9 3 12 4 9 4 6 11 15 2
2019 Contract Condition   Yes Yes         Yes     Yes  
Action   Yes No         Yes     Not Yet  
High 81.99 73.90 64.07 62.93 66.88 67.26 71.95 70.01 65.05 66.56 63.62 70.32
Low 73.36 59.11 51.74 54.02 60.25 63.54 66.25 59.56 57.27 60.46 55.31 56.48
Close/Last 73.80 59.85 55.14 60.68 65.72 66.13 69.64 60.15 63.80 64.08 58.46 59.25

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