MRCI's ScenarioSM Study

ScenarioSM Study for January RBOB Gasoline(NYM) as of Jun 08, 2020
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		16	24	26	27	30	34	34	35	35	35	35
Closed Higher		8	15	19	19	15	16	23	18	20	18	15
Exceeded High		7	14	18	16	12	15	21	16	19	12	11
Scenario Percentage		88%	93%	95%	84%	80%	94%	91%	89%	95%	67%	73%
Avg Max Increase		8.94%	9.73%	9.77%	8.95%	8.01%	8.76%	11.16%	9.86%	7.57%	10.38%	9.48%
Max Increase		15.14%	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	19	17	16	22	17	19	16	11	18	25
Avg Max Decline		-4.29%	-2.01%	-2.44%	-2.25%	-2.97%	-2.83%	-2.34%	-3.15%	-2.77%	-2.02%	-2.89%
Max Decline		-16.28%	-13.63%	-8.85%	-8.17%	-10.30%	-14.30%	-13.96%	-12.01%	-13.00%	-6.97%	-6.96%
Avg Days to Max Decline		8	12	6	7	7	11	10	7	6	12	5
2020 Contract Condition		Yes	Yes	Yes	Yes		Yes	Yes		Yes	Yes	Yes
Action		Yes	Yes	Yes	No		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		16	24	26	27	30	34	34	35	35	35	35
Closed Lower		8	9	6	8	15	18	11	17	15	17	20
Penetrated Low		5	3	3	5	9	11	8	10	11	14	15
Scenario Percentage		63%	33%	50%	63%	60%	61%	73%	59%	73%	82%	75%
Avg Max Decline		6.92%	8.04%	5.70%	9.64%	9.43%	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	18	17	19	18	15	18	19
Avg Max Increase		-1.27%	-1.49%	-2.23%	-3.65%	-0.72%	-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	5	8	11	10	7	2	4
2020 Contract Condition						Yes			Yes
Action						Yes			No
High	154.50	150.78	160.80	165.82	178.00	174.85	164.04	169.64	160.90	169.90	163.32	170.36
Low	127.30	133.31	143.87	154.48	164.63	148.40	140.59	153.46	140.24	141.05	144.49	156.84
Close/Last	133.49	144.01	158.15	163.80	174.94	149.63	161.59	162.99	147.20	150.98	157.18	159.10