MRCI's ScenarioSM Study

ScenarioSM Study for May RBOB Gasoline(NYM) as of Jan 01, 2010
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years	4	15	17	19	22	23	24	24	24	24	24
Closed Higher	4	10	9	11	9	12	11	12	16	12	18
Exceeded High	3	10	9	10	7	8	8	12	15	12	14
Scenario Percentage	75%	100%	100%	91%	78%	67%	73%	100%	94%	100%	78%
Avg Max Increase	9.43%	8.92%	12.21%	8.06%	7.97%	11.03%	15.53%	10.96%	12.71%	21.25%	11.16%
Max Increase	14.52%	26.43%	52.64%	28.22%	17.98%	17.01%	24.88%	26.92%	31.39%	47.38%	22.82%
Avg Days To Max Increase	17	18	18	15	17	24	14	17	18	20	20
Avg Max Decline	-1.13%	-0.94%	-1.72%	-0.82%	-1.83%	-1.79%	-0.78%	-2.03%	-5.34%	-3.58%	-3.08%
Max Decline	-3.30%	-6.34%	-7.94%	-3.56%	-7.87%	-5.12%	-2.64%	-9.31%	-17.17%	-8.87%	-8.74%
Avg Days to Max Decline	2	15	9	10	4	17	3	10	12	9	4
2009 Contract Condition	Yes	Yes							Yes	Yes	Yes
Action	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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years	4	15	17	19	22	23	24	24	24	24	24
Closed Lower		5	8	8	12	11	13	12	8	12	6
Penetrated Low		3	5	4	9	9	11	7	4	8	4
Scenario Percentage		60%	62%	50%	75%	82%	85%	58%	50%	67%	67%
Avg Max Decline		6.47%	11.30%	17.14%	14.97%	14.62%	11.96%	14.58%	18.22%	8.03%	9.46%
Max Decline		11.29%	23.72%	45.12%	51.46%	41.40%	28.66%	40.25%	34.05%	17.21%	14.32%
Avg Days To Max Decline		22	20	20	20	19	19	19	19	11	12
Avg Max Increase		-1.83%	-3.15%	0.21%	0.40%	-2.32%	-1.84%	-3.43%	0.35%	-4.06%	-3.11%
Max Increase		-3.67%	-10.59%	-2.70%	-2.95%	-5.02%	-12.19%	-9.03%	-1.66%	-10.04%	-5.59%
Avg Days to Max Increase		9	15	5	8	3	14	17	6	17	2
2009 Contract Condition			Yes	Yes	Yes	Yes	Yes	Yes
Action			Yes	Yes	Yes	Yes	Yes	No
High	344.38	364.00	375.72	327.50	294.32	258.25	184.76	140.65	143.94	140.57	155.46
Low	285.27	317.24	320.77	298.22	248.08	167.50	129.59	104.42	120.50	112.99	125.61
Close/Last	328.07	362.66	325.24	305.22	266.97	178.19	146.36	128.60	136.42	137.25	142.13