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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Brent Crude Oil(ICE) as of Jan 01, 2019
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   13 24 24 24 27 27 27 29 29 29 30
Closed Higher   6 11 15 17 18 12 15 19 17 16 15
Exceeded High   4 10 14 16 16 11 13 18 13 13 8
Scenario Percentage   67% 91% 93% 94% 89% 92% 87% 95% 76% 81% 53%
Avg Max Increase   10.69% 10.74% 10.16% 10.24% 9.90% 8.55% 9.89% 13.84% 15.84% 9.23% 6.27%
Max Increase   16.45% 25.27% 22.49% 21.59% 33.70% 17.40% 18.83% 79.27% 47.85% 22.95% 11.63%
Avg Days To Max Increase   19 14 20 17 15 17 19 19 15 12 16
Avg Max Decline   -1.30% -2.65% -2.17% -3.00% -1.77% -1.94% -2.39% -1.67% -2.02% -3.55% -1.89%
Max Decline   -6.27% -9.46% -13.58% -9.03% -6.16% -6.31% -14.00% -9.60% -12.35% -11.87% -5.06%
Avg Days to Max Decline   9 5 12 7 7 7 8 7 7 5 3
2018 Contract Condition   Yes   Yes         Yes   Yes Yes
Action   No   No         Yes   Yes Yes
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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   13 24 24 24 27 27 27 29 29 29 30
Closed Lower   7 13 9 7 9 15 12 10 12 13 15
Penetrated Low   5 6 3 4 5 9 8 8 9 10 12
Scenario Percentage   71% 46% 33% 57% 56% 60% 67% 80% 75% 77% 80%
Avg Max Decline   17.74% 7.64% 6.83% 5.44% 10.43% 10.26% 10.39% 12.01% 14.22% 16.61% 13.84%
Max Decline   24.71% 15.91% 10.97% 11.54% 22.43% 20.32% 32.60% 28.31% 48.27% 52.96% 29.41%
Avg Days To Max Decline   14 12 15 9 19 20 15 19 20 15 21
Avg Max Increase   -1.39% -1.16% -2.93% -1.65% -3.34% -1.36% -0.68% -4.09% -3.11% -2.16% -2.33%
Max Increase   -4.66% -5.47% -6.17% -5.91% -7.20% -3.31% -5.68% -23.15% -14.60% -10.46% -6.30%
Avg Days to Max Increase   4 2 19 8 10 5 6 11 12 5 4
2018 Contract Condition     Yes   Yes Yes Yes Yes   Yes    
Action     Yes   Yes Yes Yes No   No    
High 55.33 59.05 58.89 57.71 57.17 57.38 55.35 52.47 53.31 53.42 58.44 61.19
Low 50.01 54.55 55.94 55.62 51.14 52.11 47.93 45.83 47.33 49.82 52.09 54.85
Close/Last 54.88 58.67 56.48 56.79 54.18 53.05 51.81 49.85 53.12 52.91 56.59 60.94

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