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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May RBOB Gasoline(NYM) as of Jan 01, 2018
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   12 23 25 27 30 31 32 32 32 32 32
Closed Higher   7 13 14 15 11 17 17 17 19 17 23
Exceeded High   6 12 13 12 9 11 14 17 18 17 17
Scenario Percentage   86% 92% 93% 80% 82% 65% 82% 100% 95% 100% 74%
Avg Max Increase   7.42% 8.89% 10.30% 7.97% 7.55% 10.40% 12.98% 11.19% 12.65% 16.98% 10.29%
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 17 17 19 18 18
Avg Max Decline   -0.45% -1.69% -1.05% -1.04% -1.62% -1.93% -1.67% -1.98% -4.68% -4.04% -2.49%
Max Decline   -3.30% -11.73% -7.94% -3.56% -7.87% -5.12% -8.63% -9.31% -17.17% -14.16% -8.55%
Avg Days to Max Decline   2 14 8 9 6 15 5 9 10 10 3
2017 Contract Condition   Yes     Yes Yes   Yes Yes      
Action   Yes     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   12 23 25 27 30 31 32 32 32 32 32
Closed Lower   5 10 11 12 18 14 15 15 13 15 9
Penetrated Low   3 7 8 7 14 12 13 10 8 10 6
Scenario Percentage   60% 70% 73% 58% 78% 86% 87% 67% 62% 67% 67%
Avg Max Decline   9.89% 9.95% 10.24% 15.19% 12.43% 14.19% 13.70% 14.96% 13.10% 8.88% 8.44%
Max Decline   13.48% 24.71% 23.72% 45.12% 51.46% 41.40% 28.66% 40.25% 34.05% 17.21% 14.32%
Avg Days To Max Decline   24 18 20 18 17 18 19 16 13 13 13
Avg Max Increase   -0.73% -2.66% -1.68% -0.32% -0.74% -2.09% -2.10% -3.39% -0.98% -3.87% -2.74%
Max Increase   -1.90% -7.88% -10.59% -2.70% -6.82% -5.02% -12.19% -9.03% -6.84% -10.04% -5.59%
Avg Days to Max Increase   8 12 10 6 8 2 12 13 5 19 4
2017 Contract Condition     Yes Yes     Yes     Yes Yes Yes
Action     Yes Yes     Yes     Yes Yes Yes
High 162.08 168.21 170.96 164.44 163.95 165.33 174.28 173.59 188.48 190.66 182.78 175.21
Low 142.67 152.58 158.03 143.89 143.43 149.33 164.21 152.37 171.40 176.16 170.70 158.24
Close/Last 161.19 165.66 162.30 147.37 154.25 165.33 165.20 172.37 187.01 178.62 175.56 170.30

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