MRCI's ScenarioSM Study

ScenarioSM Study for April RBOB Gasoline(NYM) as of Dec 30, 2016
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		10	20	23	26	30	30	31	31	31	31	31
Closed Higher		8	9	14	18	17	12	16	16	17	19	16
Exceeded High		7	7	13	15	14	10	10	13	17	16	15
Scenario Percentage		88%	78%	93%	83%	82%	83%	63%	81%	100%	84%	94%
Avg Max Increase		11.14%	9.82%	9.28%	10.46%	7.39%	7.34%	10.15%	13.52%	11.69%	13.57%	9.97%
Max Increase		28.83%	14.66%	27.24%	54.45%	28.85%	18.46%	17.20%	27.12%	33.52%	30.03%	24.67%
Avg Days To Max Increase		15	19	20	17	14	17	23	18	18	18	19
Avg Max Decline		0.06%	-2.63%	-1.85%	-0.95%	-1.19%	-2.63%	-2.33%	-1.94%	-1.81%	-5.06%	-3.25%
Max Decline		-2.21%	-11.05%	-11.95%	-7.78%	-8.21%	-9.33%	-5.20%	-8.51%	-9.66%	-17.22%	-10.79%
Avg Days to Max Decline		3	3	12	8	9	6	14	6	10	10	5
2016 Contract Condition		Yes				Yes		Yes
Action		Yes				No		No

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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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		10	20	23	26	30	30	31	31	31	31	31
Closed Lower		2	11	9	8	13	17	14	15	14	12	15
Penetrated Low		1	5	6	6	9	13	11	13	9	7	9
Scenario Percentage		50%	45%	67%	75%	69%	76%	79%	87%	64%	58%	60%
Avg Max Decline		19.72%	8.33%	9.95%	11.45%	13.83%	12.53%	15.43%	14.31%	16.14%	14.07%	6.30%
Max Decline		19.72%	13.84%	25.39%	23.96%	45.36%	51.97%	42.72%	29.87%	42.20%	36.09%	13.98%
Avg Days To Max Decline		21	19	20	22	16	16	17	19	17	9	13
Avg Max Increase		-0.10%	-0.52%	-2.64%	-2.03%	-1.35%	-0.86%	-2.00%	-2.50%	-3.63%	-0.85%	-1.85%
Max Increase		-0.10%	-1.89%	-8.35%	-11.01%	-10.38%	-6.77%	-6.20%	-12.42%	-11.22%	-7.10%	-5.94%
Avg Days to Max Increase		1	6	13	14	9	5	3	13	13	4	6
2016 Contract Condition			Yes	Yes	Yes		Yes		Yes	Yes	Yes	Yes
Action			Yes	Yes	Yes		Yes		Yes	Yes	Yes	Not Yet
High	193.74	199.28	202.65	200.44	192.06	171.69	168.78	169.97	169.30	162.17	156.95	134.72
Low	172.35	178.33	187.66	189.70	169.50	144.53	154.33	154.03	147.20	142.13	122.74	112.53
Close/Last	178.80	199.28	196.73	193.72	170.75	171.58	159.20	163.22	155.55	151.10	134.87	132.07