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