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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November Brent Crude Oil(ICE) as of Jan 21, 2022
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   16 27 27 27 29 30 30 32 32 32 33
Closed Higher   7 16 14 13 18 19 20 15 17 22 19
Exceeded High   6 14 13 12 17 18 18 11 16 21 11
Scenario Percentage   86% 88% 93% 92% 94% 95% 90% 73% 94% 95% 58%
Avg Max Increase   7.06% 8.44% 10.57% 12.58% 10.17% 10.87% 9.91% 10.92% 10.08% 14.94% 14.51%
Max Increase   11.88% 16.96% 24.48% 25.89% 25.20% 22.91% 34.75% 16.93% 20.97% 95.55% 50.87%
Avg Days To Max Increase   16 14 16 14 17 17 15 17 16 18 21
Avg Max Decline   -0.71% -0.95% -1.57% -2.41% -2.26% -3.00% -2.05% -1.78% -2.65% -3.01% -0.60%
Max Decline   -2.62% -7.50% -6.67% -10.06% -14.05% -9.22% -6.86% -5.55% -14.81% -13.93% -3.50%
Avg Days to Max Decline   7 6 6 7 8 6 7 7 8 7 4
2021 Contract Condition     Yes Yes Yes Yes   Yes Yes Yes Yes  
Action     Yes Yes Yes Yes   Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   16 27 27 27 29 30 30 32 32 32 33
Closed Lower   9 11 13 14 11 11 10 17 15 10 14
Penetrated Low   7 7 7 7 5 5 5 12 9 8 5
Scenario Percentage   78% 64% 54% 50% 45% 45% 50% 71% 60% 80% 36%
Avg Max Decline   15.25% 19.59% 15.47% 13.14% 15.22% 9.79% 11.51% 9.54% 11.70% 12.89% 12.26%
Max Decline   35.28% 35.98% 25.74% 41.29% 45.49% 24.92% 23.65% 21.51% 34.02% 29.48% 22.95%
Avg Days To Max Decline   20 19 16 13 17 7 19 18 13 16 21
Avg Max Increase   -1.42% 0.09% -2.64% -2.56% -2.03% -4.20% -3.82% -1.19% -1.41% -4.33% -1.35%
Max Increase   -4.76% -4.66% -6.67% -6.51% -6.64% -16.81% -7.45% -3.09% -6.29% -25.15% -2.59%
Avg Days to Max Increase   3 2 9 5 8 3 9 6 6 11 5
2021 Contract Condition   Yes         Yes         Yes
Action   No         No         Not Yet
High 48.63 46.44 48.61 51.51 55.15 63.36 66.77 66.49 68.51 74.18 75.87 74.52
Low 44.32 40.62 42.38 47.22 50.02 52.71 58.99 59.78 63.54 68.00 66.40 64.20
Close/Last 45.40 41.28 48.05 50.90 53.04 61.00 60.63 64.82 67.96 73.05 74.59 71.63

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