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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, 2019
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   11 23 24 27 30 31 33 33 33 33 33
Closed Higher   6 16 17 14 15 20 17 18 16 15 20
Exceeded High   6 15 15 11 14 18 15 15 10 12 19
Scenario Percentage   100% 94% 88% 79% 93% 90% 88% 83% 63% 80% 95%
Avg Max Increase   7.22% 9.56% 8.68% 8.49% 9.99% 10.79% 9.40% 7.62% 11.16% 14.12% 8.45%
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   24 17 16 20 17 17 17 15 24 17 15
Avg Max Decline   -4.31% -2.47% -1.80% -2.79% -2.34% -1.51% -2.88% -2.75% -2.47% -3.79% -1.56%
Max Decline   -13.18% -8.60% -7.88% -9.89% -13.16% -8.84% -10.51% -10.64% -6.43% -12.74% -7.44%
Avg Days to Max Decline   9 6 8 8 12 9 7 6 16 6 5
2018 Contract Condition         Yes   Yes Yes Yes Yes Yes Yes
Action         Yes   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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   11 23 24 27 30 31 33 33 33 33 33
Closed Lower   5 6 7 13 15 11 16 15 17 18 13
Penetrated Low   2 1 5 7 11 8 11 11 14 13 7
Scenario Percentage   40% 17% 71% 54% 73% 73% 69% 73% 82% 72% 54%
Avg Max Decline   7.72% 9.66% 9.29% 9.37% 9.39% 10.77% 13.08% 14.17% 15.53% 16.33% 15.86%
Max Decline   9.58% 9.66% 21.77% 16.88% 30.96% 25.75% 49.13% 56.50% 47.23% 33.63% 21.92%
Avg Days To Max Decline   15 4 17 17 16 18 18 15 17 18 18
Avg Max Increase   -2.17% -5.35% -3.41% -0.24% -2.37% -2.32% -1.80% -1.56% -2.45% -3.12% -4.84%
Max Increase   -5.10% -5.35% -6.45% -2.10% -8.68% -12.38% -12.11% -7.45% -7.15% -12.85% -20.52%
Avg Days to Max Increase   19 12 11 4 8 12 10 7 2 10 4
2018 Contract Condition   Yes Yes Yes   Yes            
Action   Yes Yes Yes   No            
High 164.90 156.23 151.26 154.65 149.01 143.30 150.35 152.03 164.40 172.71 181.02 181.53
Low 152.88 148.84 137.82 140.00 132.62 127.88 134.13 141.15 148.53 153.69 170.47 166.19
Close/Last 153.85 152.42 146.80 141.02 141.91 138.80 150.22 151.98 158.59 171.38 174.12 179.58

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