MRCI's ScenarioSM Study

ScenarioSM Study for January RBOB Gasoline(NYM) as of Jan 01, 2018
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		14	22	24	25	28	32	32	33	33	33	33
Closed Higher		6	14	17	17	14	14	22	17	18	17	14
Exceeded High		5	13	16	15	12	13	20	15	17	11	10
Scenario Percentage		83%	93%	94%	88%	86%	93%	91%	88%	94%	65%	71%
Avg Max Increase		9.08%	9.51%	9.52%	8.98%	8.01%	9.64%	11.50%	9.88%	7.50%	9.93%	9.05%
Max Increase		13.56%	21.47%	26.16%	34.34%	15.81%	30.83%	64.52%	32.03%	20.91%	18.76%	14.97%
Avg Days To Max Increase		17	18	16	16	22	18	19	17	11	16	23
Avg Max Decline		-4.07%	-1.98%	-2.54%	-2.21%	-2.97%	-2.83%	-1.76%	-3.15%	-2.83%	-2.11%	-2.95%
Max Decline		-16.28%	-13.63%	-8.85%	-8.17%	-10.30%	-14.30%	-8.98%	-12.01%	-13.00%	-6.97%	-6.96%
Avg Days to Max Decline		8	12	7	7	7	13	10	8	6	11	6
2017 Contract Condition				Yes	Yes	Yes			Yes	Yes		Yes
Action				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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		14	22	24	25	28	32	32	33	33	33	33
Closed Lower		8	8	6	8	14	18	10	16	15	16	19
Penetrated Low		5	3	3	5	8	11	8	10	11	13	14
Scenario Percentage		63%	38%	50%	63%	57%	61%	80%	63%	73%	81%	74%
Avg Max Decline		6.92%	8.04%	5.70%	9.64%	9.85%	9.93%	11.31%	14.73%	14.77%	16.74%	13.14%
Max Decline		13.72%	9.74%	10.83%	22.15%	17.16%	31.88%	25.96%	49.96%	58.32%	48.71%	35.10%
Avg Days To Max Decline		10	16	8	18	19	17	19	18	15	18	17
Avg Max Increase		-1.27%	-1.49%	-2.23%	-3.65%	-0.67%	-2.63%	-2.63%	-0.97%	-1.89%	-2.94%	-1.98%
Max Increase		-5.27%	-5.12%	-5.65%	-6.75%	-2.27%	-8.83%	-12.80%	-3.73%	-8.43%	-8.48%	-12.20%
Avg Days to Max Increase		4	13	14	13	6	8	11	10	7	2	3
2017 Contract Condition		Yes	Yes				Yes	Yes			Yes
Action		Yes	No				Yes	Yes			Yes
High	137.64	129.34	113.98	126.77	136.93	142.73	145.94	141.34	142.06	143.27	151.44	153.74
Low	118.64	99.70	98.51	111.66	113.86	125.49	132.97	119.26	118.60	126.09	141.06	127.30
Close/Last	125.49	114.18	113.50	121.60	135.97	140.26	137.95	122.99	131.73	143.09	141.72	148.25