MRCI's ScenarioSM Study

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

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.

Condition 2: Lower Monthly Close. Action ---> Sell that month's close with objective of penetrating month's low 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 Lower		4	5	3	5	11	14	7	14	11	12	17
Penetrated Low		2	1	1	3	6	9	5	9	7	9	12
Scenario Percentage		50%	20%	33%	60%	55%	64%	71%	64%	64%	75%	71%
Avg Max Decline		5.17%	8.18%	3.54%	5.52%	8.62%	7.04%	11.58%	14.25%	16.66%	18.71%	12.75%
Max Decline		6.92%	8.18%	3.54%	6.33%	11.97%	15.29%	25.96%	49.96%	58.32%	48.71%	35.10%
Avg Days To Max Decline		12	17	19	15	16	18	20	18	16	20	17
Avg Max Increase		-4.03%	-0.16%	-1.29%	-3.73%	-0.53%	-3.01%	-4.04%	-1.06%	-0.49%	-3.08%	-1.56%
Max Increase		-5.27%	-0.16%	-1.29%	-6.58%	-1.49%	-8.83%	-12.80%	-3.73%	-4.24%	-7.98%	-12.20%
Avg Days to Max Increase		2	2	29	13	5	10	16	11	3	3	4
2011 Contract Condition		Yes				Yes	Yes		Yes
Action		Yes				No	Yes		No
High	215.09	219.19	208.66	215.68	229.97	233.37	204.93	203.44	212.25	206.55	219.03	223.20
Low	197.10	194.00	187.41	204.75	218.10	182.32	190.95	185.42	182.22	190.10	203.50	205.77
Close/Last	211.19	194.03	206.65	215.68	229.97	196.00	195.02	203.12	189.54	206.36	206.82	218.68