MRCI's ScenarioSM Study

ScenarioSM Study for January RBOB Gasoline(NYM) as of Oct 20, 2019
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		15	23	25	26	29	33	33	34	34	34	34
Closed Higher		7	14	18	18	15	15	22	18	19	17	14
Exceeded High		6	13	17	16	12	14	20	16	18	11	10
Scenario Percentage		86%	93%	94%	89%	80%	93%	91%	89%	95%	65%	71%
Avg Max Increase		7.91%	9.51%	9.84%	8.95%	8.01%	9.02%	11.50%	9.86%	7.28%	10.20%	9.33%
Max Increase		13.56%	21.47%	26.16%	34.34%	15.81%	30.83%	64.52%	32.03%	20.91%	20.41%	14.97%
Avg Days To Max Increase		19	18	16	16	22	18	19	16	10	17	24
Avg Max Decline		-4.98%	-1.98%	-2.61%	-2.25%	-2.97%	-2.83%	-1.76%	-3.15%	-2.69%	-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	6	7	7	12	10	7	6	11	6
2019 Contract Condition		Yes		Yes	Yes	Yes	Yes		Yes	Yes
Action		Yes		Yes	Yes	No	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		15	23	25	26	29	33	33	34	34	34	34
Closed Lower		8	9	6	8	14	18	11	16	15	17	20
Penetrated Low		5	3	3	5	8	11	8	10	11	14	15
Scenario Percentage		63%	33%	50%	63%	57%	61%	73%	63%	73%	82%	75%
Avg Max Decline		6.92%	8.04%	5.70%	9.64%	9.85%	9.93%	11.31%	14.73%	14.77%	17.66%	13.09%
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	19
Avg Max Increase		-1.27%	-1.49%	-2.23%	-3.65%	-0.67%	-2.63%	-2.63%	-0.97%	-1.89%	-2.75%	-2.44%
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	4
2019 Contract Condition			Yes					Yes			Yes	Yes
Action			No					No			Yes	Yes
High	171.19	178.74	177.27	179.60	189.51	203.55	197.44	199.00	198.01	209.29	214.67	175.77
Low	160.65	169.27	159.17	161.24	170.33	182.31	182.00	181.68	182.06	189.92	174.51	135.33
Close/Last	170.61	175.96	166.31	177.01	187.68	195.44	196.87	191.41	196.05	207.41	175.23	140.19