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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   7 19 20 23 26 27 29 29 29 29 29
Closed Higher   4 15 14 11 14 19 15 16 14 13 18
Exceeded High   4 14 12 8 14 17 13 13 8 10 17
Scenario Percentage   100% 93% 86% 73% 100% 89% 87% 81% 57% 77% 94%
Avg Max Increase   9.50% 9.04% 9.41% 9.69% 9.99% 10.87% 8.66% 7.25% 12.57% 14.26% 8.79%
Max Increase   11.65% 25.45% 33.12% 15.86% 27.86% 60.66% 32.50% 20.66% 20.48% 26.51% 18.16%
Avg Days To Max Increase   23 16 18 20 17 17 15 15 26 17 15
Avg Max Decline   -2.42% -2.23% -1.43% -2.28% -2.34% -1.25% -2.84% -2.87% -2.48% -3.99% -1.43%
Max Decline   -4.82% -8.60% -7.88% -5.68% -13.16% -8.84% -10.51% -10.64% -6.43% -12.74% -7.44%
Avg Days to Max Decline   6 6 9 8 12 9 8 6 14 6 6
2014 Contract Condition     Yes     Yes Yes Yes     Yes Yes
Action     Yes     Yes Yes No     Yes Not Yet
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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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   7 19 20 23 26 27 29 29 29 29 29
Closed Lower   3 3 6 12 12 8 14 13 15 16 11
Penetrated Low   1   4 6 9 5 10 9 12 11 5
Scenario Percentage   33% 0% 67% 50% 75% 63% 71% 69% 80% 69% 45%
Avg Max Decline   5.87%   9.28% 8.12% 6.52% 10.88% 12.52% 13.53% 14.45% 14.08% 14.49%
Max Decline   5.87%   21.77% 11.10% 14.17% 25.75% 49.13% 56.50% 47.23% 33.63% 20.12%
Avg Days To Max Decline   17   16 15 16 17 18 14 16 17 18
Avg Max Increase   -5.10%   -2.84% 0.07% -2.74% -3.66% -2.01% -0.88% -2.39% -2.84% -5.25%
Max Increase   -5.10%   -6.45% -1.49% -8.68% -12.38% -12.11% -3.94% -7.15% -12.85% -20.52%
Avg Days to Max Increase   32   8 3 9 17 11 5 3 12 5
2014 Contract Condition   Yes   Yes Yes       Yes Yes    
Action   Yes   No No       Yes Yes    
High 267.62 275.75 270.32 271.85 264.26 267.50 277.87 286.93 283.03 270.61 274.11 284.32
Low 253.99 258.52 256.00 243.48 246.00 251.09 256.10 262.37 258.73 254.38 250.61 262.96
Close/Last 267.62 258.65 270.32 253.33 252.60 254.24 273.92 280.26 261.25 260.46 267.32 278.59

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