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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   19 19 19 22 22 22 24 24 24 24 24
Closed Higher   9 8 11 9 13 13 16 16 10 12 18
Exceeded High   8 6 9 9 10 13 15 15 8 12 14
Scenario Percentage   89% 75% 82% 100% 77% 100% 94% 94% 80% 100% 78%
Avg Max Increase   8.59% 6.91% 7.55% 11.30% 12.66% 12.09% 9.93% 10.23% 11.02% 10.81% 9.86%
Max Increase   19.43% 11.95% 17.34% 21.37% 24.34% 27.55% 24.51% 37.42% 16.11% 20.00% 45.51%
Avg Days To Max Increase   14 15 14 19 13 17 14 16 22 12 9
Avg Max Decline   -0.92% -1.01% -2.05% -2.02% -2.36% -1.75% -2.92% -1.91% -3.02% -3.31% -0.71%
Max Decline   -3.75% -1.57% -8.81% -7.13% -10.38% -4.11% -9.71% -7.21% -7.60% -14.88% -3.11%
Avg Days to Max Decline   5 7 8 7 6 8 9 7 9 9 2
2013 Contract Condition       Yes   Yes   Yes     Yes Yes
Action       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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   19 19 19 22 22 22 24 24 24 24 24
Closed Lower   10 11 8 13 9 9 8 8 14 12 6
Penetrated Low   8 10 4 8 3 4 4 5 9 7 2
Scenario Percentage   80% 91% 50% 62% 33% 44% 50% 63% 64% 58% 33%
Avg Max Decline   12.40% 10.13% 16.32% 9.96% 14.03% 7.93% 5.79% 12.12% 9.46% 8.77% 11.33%
Max Decline   44.60% 36.28% 26.36% 24.04% 20.26% 13.85% 9.28% 24.86% 17.45% 16.79% 11.76%
Avg Days To Max Decline   13 17 19 16 13 20 10 20 16 14 11
Avg Max Increase   0.14% -2.69% 2.58% -3.79% -3.05% -3.46% -0.57% -3.88% -1.62% -1.94% -1.48%
Max Increase   -2.29% -6.26% -0.08% -7.84% -6.72% -9.39% -1.21% -8.73% -3.50% -7.11% -3.19%
Avg Days to Max Increase   8 9 1 9 4 14 1 6 7 9 2
2013 Contract Condition   Yes Yes   Yes   Yes   Yes Yes    
Action   Yes Yes   No   Yes   No No    
High 109.75 110.88 108.95 107.62 107.75 110.93 114.37 108.39 109.99 104.85 106.31 109.18
Low 100.35 103.02 102.93 101.78 102.43 105.10 106.97 105.07 96.65 97.61 99.20 101.23
Close/Last 109.23 106.51 103.51 106.81 106.27 110.81 107.42 108.32 101.38 99.91 101.72 107.70

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