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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, 2019
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   13 24 26 28 31 32 33 33 33 33 33
Closed Higher   7 13 15 16 12 18 18 18 20 17 24
Exceeded High   6 12 14 13 10 12 15 18 18 17 19
Scenario Percentage   86% 92% 93% 81% 83% 67% 83% 100% 90% 100% 79%
Avg Max Increase   7.42% 8.89% 10.05% 8.22% 7.99% 10.04% 12.73% 10.86% 12.65% 17.50% 10.06%
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 16 15 24 17 18 19 19 20
Avg Max Decline   -0.45% -1.69% -1.33% -1.09% -1.68% -1.85% -1.74% -1.94% -4.68% -4.04% -2.91%
Max Decline   -3.30% -11.73% -7.94% -3.56% -7.87% -5.12% -8.63% -9.31% -17.17% -14.16% -8.74%
Avg Days to Max Decline   2 14 8 8 6 17 6 9 10 10 3
2018 Contract Condition       Yes Yes Yes Yes Yes Yes Yes   Yes
Action       Yes Yes Yes Yes Yes Yes No   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   13 24 26 28 31 32 33 33 33 33 33
Closed Lower   6 11 11 12 18 14 15 15 13 16 9
Penetrated Low   4 7 8 7 14 12 13 10 8 10 6
Scenario Percentage   67% 64% 73% 58% 78% 86% 87% 67% 62% 63% 67%
Avg Max Decline   9.27% 9.95% 10.24% 15.19% 12.43% 14.19% 13.70% 14.96% 13.10% 8.88% 8.45%
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   23 18 20 18 17 18 19 16 13 13 13
Avg Max Increase   -0.51% -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   6 12 10 6 8 2 12 13 5 19 4
2018 Contract Condition   Yes Yes               Yes  
Action   Yes No               No  
High 175.79 168.40 161.36 169.63 171.11 181.26 190.07 197.74 200.45 210.12 208.98 205.45
Low 161.50 153.82 149.61 156.10 161.19 168.13 172.77 187.59 187.32 197.42 184.84 187.19
Close/Last 162.22 161.62 159.00 169.63 170.95 176.58 189.11 192.42 199.81 206.85 193.93 202.06

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