MRCI's ScenarioSM Study

ScenarioSM Study for January RBOB Gasoline(NYM) as of Jan 01, 2015
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		11	19	21	22	25	29	29	30	30	30	30
Closed Higher		6	13	16	15	12	14	21	15	16	15	12
Exceeded High		5	12	15	13	10	13	19	13	15	9	9
Scenario Percentage		83%	92%	94%	87%	83%	93%	90%	87%	94%	60%	75%
Avg Max Increase		9.08%	9.99%	8.99%	9.54%	8.60%	9.64%	11.60%	9.18%	7.00%	11.15%	8.71%
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		17	17	15	18	22	18	18	16	11	20	24
Avg Max Decline		-4.07%	-1.01%	-2.28%	-1.84%	-2.32%	-2.83%	-1.53%	-3.12%	-2.89%	-2.31%	-3.21%
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		8	12	7	8	7	13	10	8	5	13	6
2014 Contract Condition		Yes		Yes			Yes	Yes	Yes			Yes
Action		Yes		Yes			Yes	Yes	No			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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		11	19	21	22	25	29	29	30	30	30	30
Closed Lower		5	6	4	7	13	15	8	15	14	15	18
Penetrated Low		3	2	2	4	7	9	6	10	10	12	13
Scenario Percentage		60%	33%	50%	57%	54%	60%	75%	67%	71%	80%	72%
Avg Max Decline		3.53%	7.19%	3.13%	9.68%	8.81%	7.04%	11.20%	14.73%	15.19%	17.34%	13.43%
Max Decline		6.92%	8.18%	3.54%	22.15%	11.97%	15.29%	25.96%	49.96%	58.32%	48.71%	35.10%
Avg Days To Max Decline		9	17	10	17	18	18	21	18	15	18	18
Avg Max Increase		-2.66%	-2.64%	-0.52%	-2.88%	-0.45%	-3.01%	-3.43%	-0.97%	-1.24%	-2.47%	-1.72%
Max Increase		-5.27%	-5.12%	-1.29%	-6.58%	-1.49%	-8.83%	-12.80%	-3.73%	-4.24%	-7.98%	-12.20%
Avg Days to Max Increase		2	17	15	10	5	10	14	10	5	2	4
2014 Contract Condition			Yes		Yes	Yes				Yes	Yes
Action			Yes		No	No				Yes	Yes
High	255.01	267.68	276.11	270.66	272.30	264.00	267.68	279.09	287.26	283.32	270.03	274.50
Low	245.17	253.77	258.99	256.73	242.98	245.67	250.15	254.90	262.98	258.07	253.34	249.22
Close/Last	253.54	267.68	259.03	270.66	253.00	252.15	253.84	274.44	280.88	260.60	259.13	266.28