MRCI's ScenarioSM Study

ScenarioSM Study for May 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	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years		8	19	21	23	26	27	28	28	28	28	28
Closed Higher		5	11	13	12	10	15	15	15	19	15	22
Exceeded High		4	11	12	11	8	10	12	15	18	15	17
Scenario Percentage		80%	100%	92%	92%	80%	67%	80%	100%	95%	100%	77%
Avg Max Increase		8.98%	8.72%	10.81%	7.52%	7.81%	10.66%	13.85%	12.40%	12.65%	19.27%	10.26%
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		16	16	16	15	16	23	17	18	19	18	19
Avg Max Decline		-0.42%	-1.92%	-0.85%	-0.85%	-1.74%	-1.83%	-1.82%	-1.70%	-4.68%	-3.32%	-2.64%
Max Decline		-3.30%	-11.73%	-7.94%	-3.56%	-7.87%	-5.12%	-8.63%	-9.31%	-17.17%	-8.87%	-8.74%
Avg Days to Max Decline		2	15	8	10	6	16	5	8	10	8	3
2013 Contract Condition				Yes	Yes			Yes	Yes	Yes		Yes
Action				Yes	Yes			Yes	Yes	Yes		Not Yet

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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	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years		8	19	21	23	26	27	28	28	28	28	28
Closed Lower		3	8	8	11	15	12	13	13	9	13	6
Penetrated Low		2	5	5	6	11	10	11	8	5	9	4
Scenario Percentage		67%	63%	63%	55%	73%	83%	85%	62%	56%	69%	67%
Avg Max Decline		8.09%	6.67%	11.30%	15.05%	13.01%	13.36%	11.96%	14.06%	15.27%	8.50%	9.46%
Max Decline		8.21%	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	18	17	17	19	17	16	12	12
Avg Max Increase		-0.14%	-3.72%	-3.15%	-0.38%	0.08%	-2.18%	-1.84%	-3.65%	-1.09%	-4.21%	-3.11%
Max Increase		-1.37%	-7.88%	-10.59%	-2.70%	-2.95%	-5.02%	-12.19%	-9.03%	-6.84%	-10.04%	-5.59%
Avg Days to Max Increase		7	16	15	7	8	3	14	16	6	16	2
2013 Contract Condition		Yes	Yes			Yes	Yes				Yes
Action		Yes	No			Yes	Yes				Yes
High	304.04	295.31	256.00	272.02	292.78	299.01	294.92	290.29	291.89	315.00	330.37	324.45
Low	294.76	258.79	237.54	247.07	266.99	277.41	272.61	271.09	275.78	287.57	305.27	301.51
Close/Last	295.01	258.79	253.34	265.12	292.78	286.51	276.69	288.61	289.40	314.50	307.79	311.06