MRCI's ScenarioSM Study

ScenarioSM Study for March RBOB Gasoline(NYM) as of Jan 01, 2014
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan
Tested Years		9	18	21	22	25	26	27	28	28	28	28
Closed Higher		7	13	10	12	18	13	14	14	12	17	19
Exceeded High		6	11	7	12	16	12	13	8	9	17	12
Scenario Percentage		86%	85%	70%	100%	89%	92%	93%	57%	75%	100%	63%
Avg Max Increase		9.96%	9.92%	9.47%	9.78%	10.71%	8.55%	6.80%	11.83%	13.49%	11.92%	9.55%
Max Increase		24.62%	32.02%	15.22%	26.75%	57.53%	31.03%	20.25%	18.41%	23.07%	31.11%	16.89%
Avg Days To Max Increase		20	16	19	18	15	12	12	25	18	17	15
Avg Max Decline		-1.23%	-1.05%	-2.04%	-2.46%	-0.93%	-1.48%	-2.18%	-2.38%	-3.95%	-2.50%	-2.60%
Max Decline		-3.37%	-7.25%	-5.54%	-13.08%	-8.58%	-10.27%	-10.51%	-5.76%	-12.03%	-11.73%	-13.95%
Avg Days to Max Decline		8	7	8	11	9	6	5	17	5	11	3
2013 Contract Condition		Yes				Yes	Yes			Yes	Yes	Yes
Action		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	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan
Tested Years		9	18	21	22	25	26	27	28	28	28	28
Closed Lower		1	5	11	10	7	13	13	14	16	11	9
Penetrated Low			4	6	7	4	9	9	11	11	5	5
Scenario Percentage		0%	80%	55%	70%	57%	69%	69%	79%	69%	45%	56%
Avg Max Decline			8.84%	7.81%	7.44%	12.41%	13.02%	14.85%	14.16%	13.47%	20.26%	12.48%
Max Decline			21.39%	9.92%	14.59%	25.77%	48.34%	55.77%	45.55%	32.34%	43.15%	29.14%
Avg Days To Max Decline			16	15	15	16	18	16	17	17	18	16
Avg Max Increase			-2.53%	-0.16%	-2.49%	-4.85%	-2.09%	0.18%	-2.58%	-2.40%	-5.07%	-1.36%
Max Increase			-6.37%	-1.52%	-8.82%	-11.97%	-11.93%	-3.31%	-6.63%	-10.96%	-17.88%	-7.99%
Avg Days to Max Increase			6	4	12	20	14	4	3	14	11	2
2013 Contract Condition			Yes	Yes	Yes			Yes	Yes
Action			Yes	Yes	No			Yes	Yes
High	290.37	295.13	293.81	283.09	242.53	259.01	283.25	287.53	282.53	276.30	281.31	304.16
Low	263.78	286.17	282.36	245.39	222.37	232.27	252.03	262.10	257.86	256.22	261.43	271.17
Close/Last	285.49	286.17	282.89	245.39	238.92	251.54	280.67	273.48	262.05	274.80	276.36	303.17