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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Brent Crude Oil(ICE) as of Jan 01, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   20 20 21 23 23 24 24 26 26 26 26
Closed Higher   15 13 9 14 15 13 13 12 13 12 14
Exceeded High   14 11 8 13 14 10 10 9 12 11 10
Scenario Percentage   93% 85% 89% 93% 93% 77% 77% 75% 92% 92% 71%
Avg Max Increase   8.33% 10.01% 9.62% 11.07% 9.65% 11.54% 9.75% 9.08% 9.95% 9.98% 5.69%
Max Increase   19.57% 34.33% 17.69% 27.26% 21.33% 30.49% 22.04% 15.29% 23.85% 18.75% 13.84%
Avg Days To Max Increase   17 13 18 19 18 18 15 21 16 9 7
Avg Max Decline   -1.97% -0.80% -1.33% -1.96% -1.05% -1.73% -1.89% -1.88% -2.93% -1.91% -0.89%
Max Decline   -8.68% -4.04% -3.50% -13.38% -8.95% -10.08% -9.44% -4.38% -9.25% -6.51% -3.22%
Avg Days to Max Decline   10 7 9 6 7 6 5 11 7 5 2
2015 Contract Condition       Yes Yes              
Action       Yes No              
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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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   20 20 21 23 23 24 24 26 26 26 26
Closed Lower   5 7 12 9 8 11 11 14 13 14 12
Penetrated Low   2 3 6 7 7 8 9 13 10 8 4
Scenario Percentage   40% 43% 50% 78% 88% 73% 82% 93% 77% 57% 33%
Avg Max Decline   1.54% 9.56% 7.32% 6.83% 9.70% 14.85% 15.87% 17.19% 18.96% 14.07% 6.42%
Max Decline   1.85% 21.38% 12.16% 14.24% 27.63% 46.39% 50.65% 44.54% 34.78% 33.48% 9.15%
Avg Days To Max Decline   2 19 18 14 20 20 15 18 18 13 8
Avg Max Increase   1.40% -2.66% -1.47% -0.85% -3.29% -3.40% -1.04% -3.83% -3.09% -4.83% -3.20%
Max Increase   1.23% -6.05% -3.06% -5.56% -13.38% -12.67% -4.07% -10.38% -12.11% -12.91% -7.74%
Avg Days to Max Increase   1 7 6 6 18 17 4 7 12 9 2
2015 Contract Condition   Yes Yes     Yes Yes Yes Yes Yes Yes Yes
Action   Yes No     Yes Yes Yes Yes Yes Yes Not Yet
High 105.20 105.49 105.62 106.23 111.38 109.83 107.51 104.83 97.94 87.91 73.92 59.41
Low 101.07 102.08 101.79 102.55 104.12 106.25 103.07 96.31 84.41 70.77 56.65 46.40
Close/Last 104.26 103.71 103.40 105.05 109.40 106.74 104.69 96.71 87.39 71.14 58.21 52.99

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