MRCI's ScenarioSM Study

ScenarioSM Study for May RBOB Gasoline(NYM) as of Jan 01, 2015
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		9	20	22	24	27	28	29	29	29	29	29
Closed Higher		5	12	14	13	10	16	16	16	19	16	22
Exceeded High		4	12	13	11	8	11	13	16	18	16	17
Scenario Percentage		80%	100%	93%	85%	80%	69%	81%	100%	95%	100%	77%
Avg Max Increase		8.98%	8.89%	10.30%	7.52%	7.81%	10.40%	13.16%	11.77%	12.65%	18.37%	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	17	17	15	16	24	18	18	19	18	19
Avg Max Decline		-0.42%	-1.69%	-1.05%	-0.85%	-1.74%	-1.93%	-1.76%	-1.96%	-4.68%	-3.41%	-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	14	8	10	6	15	5	10	10	10	3
2014 Contract Condition			Yes	Yes	Yes		Yes	Yes	Yes		Yes
Action			Yes	Yes	No		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	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years		9	20	22	24	27	28	29	29	29	29	29
Closed Lower		4	8	8	11	16	12	13	13	10	13	7
Penetrated Low		2	5	5	6	12	10	11	8	6	9	5
Scenario Percentage		50%	63%	63%	55%	75%	83%	85%	62%	60%	69%	71%
Avg Max Decline		8.09%	6.67%	11.30%	15.05%	12.11%	13.36%	11.96%	14.06%	12.92%	8.50%	8.20%
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	16	17	19	17	14	12	10
Avg Max Increase		-0.14%	-3.72%	-3.15%	-0.38%	-0.18%	-2.18%	-1.84%	-3.65%	-0.97%	-4.21%	-2.48%
Max Increase		-1.37%	-7.88%	-10.59%	-2.70%	-3.05%	-5.02%	-12.19%	-9.03%	-6.84%	-10.04%	-5.59%
Avg Days to Max Increase		7	16	15	7	9	3	14	16	5	16	2
2014 Contract Condition		Yes				Yes				Yes		Yes
Action		No				Yes				Yes		Yes
High	286.79	281.34	283.32	289.99	299.81	295.85	284.90	290.70	300.12	296.09	302.29	304.13
Low	260.68	264.18	268.40	272.83	277.75	274.35	272.02	270.12	283.40	278.29	278.00	284.65
Close/Last	269.64	268.98	270.72	287.96	293.73	276.46	278.35	286.24	295.35	281.25	296.75	291.79