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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   12 22 25 28 32 32 33 33 33 33 33
Closed Higher   9 10 14 19 19 14 17 18 19 20 16
Exceeded High   8 8 13 16 16 12 11 15 19 16 14
Scenario Percentage   89% 80% 93% 84% 84% 86% 65% 83% 100% 80% 88%
Avg Max Increase   10.49% 9.01% 9.28% 10.26% 7.99% 7.57% 9.75% 13.06% 10.85% 13.01% 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   14 18 20 17 16 16 23 18 18 16 18
Avg Max Decline   -0.66% -2.33% -1.85% -1.22% -1.36% -2.44% -2.24% -1.91% -1.81% -4.23% -2.71%
Max Decline   -5.74% -11.05% -11.95% -7.78% -8.21% -9.33% -5.20% -8.51% -9.66% -17.22% -9.62%
Avg Days to Max Decline   4 3 12 8 8 6 16 6 9 6 5
2018 Contract Condition         Yes Yes Yes Yes Yes Yes Yes  
Action         Yes Yes Yes Yes Yes Yes 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   12 22 25 28 32 32 33 33 33 33 33
Closed Lower   3 12 11 9 13 17 15 15 14 13 17
Penetrated Low   2 6 7 7 9 13 12 13 9 8 10
Scenario Percentage   67% 50% 64% 78% 69% 76% 80% 87% 64% 62% 59%
Avg Max Decline   14.08% 8.28% 10.22% 10.20% 13.83% 12.53% 14.80% 14.31% 16.14% 13.77% 6.64%
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 17 19 16 16 17 19 17 10 13
Avg Max Increase   -1.97% -0.45% -2.51% -1.76% -1.35% -0.86% -2.21% -2.50% -3.63% -1.03% -1.64%
Max Increase   -3.84% -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   12 5 11 12 9 5 3 13 13 4 6
2018 Contract Condition   Yes Yes Yes               Yes
Action   Yes Yes No               Not Yet
High 170.92 175.18 167.71 160.94 169.24 170.84 181.45 190.25 198.19 199.93 209.95 208.46
Low 160.35 160.80 150.24 147.89 153.63 160.33 167.68 172.44 187.88 186.65 196.71 183.84
Close/Last 167.39 161.51 160.81 158.05 169.15 170.67 176.42 189.13 192.39 199.19 206.46 192.46

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