MRCI Online
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| ScenarioSM Study for January RBOB Gasoline(NYM) as of Dec 30, 2011 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | ||||||||||||
| Tested Month | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
| Tested Years | 8 | 16 | 18 | 19 | 22 | 26 | 26 | 27 | 27 | 27 | 27 | |
| Closed Higher | 4 | 11 | 14 | 14 | 11 | 12 | 19 | 13 | 16 | 15 | 10 | |
| Exceeded High | 3 | 10 | 14 | 12 | 9 | 12 | 17 | 12 | 15 | 9 | 7 | |
| Scenario Percentage | 75% | 91% | 100% | 86% | 82% | 100% | 89% | 92% | 94% | 60% | 70% | |
| Avg Max Increase | 10.07% | 11.39% | 9.59% | 9.69% | 8.88% | 9.34% | 11.80% | 9.75% | 7.00% | 11.15% | 9.64% | |
| Max Increase | 13.56% | 21.47% | 26.16% | 34.34% | 15.81% | 30.83% | 64.52% | 32.03% | 20.91% | 20.41% | 14.22% | |
| Avg Days To Max Increase | 20 | 17 | 16 | 17 | 22 | 18 | 18 | 16 | 11 | 20 | 23 | |
| Avg Max Decline | -6.77% | -0.98% | -2.42% | -1.90% | -2.43% | -3.10% | -1.48% | -3.24% | -2.89% | -2.31% | -3.14% | |
| Max Decline | -16.28% | -4.88% | -8.85% | -8.17% | -5.72% | -14.30% | -8.98% | -12.01% | -13.00% | -6.97% | -6.96% | |
| Avg Days to Max Decline | 13 | 10 | 7 | 8 | 7 | 14 | 11 | 9 | 5 | 13 | 5 | |
| 2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
| Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
