MRCI's ScenarioSM Study

ScenarioSM Study for May RBOB Gasoline(NYM) as of Oct 20, 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		14	25	27	29	32	33	34	34	34	34	34
Closed Higher		8	14	15	17	13	18	18	18	21	18	25
Exceeded High		6	13	14	14	11	12	15	18	19	18	20
Scenario Percentage		75%	93%	93%	82%	85%	67%	83%	100%	90%	100%	80%
Avg Max Increase		7.42%	8.29%	10.05%	8.28%	7.59%	10.04%	12.73%	10.86%	13.05%	17.76%	10.28%
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	18	17	15	14	24	17	18	20	19	20
Avg Max Decline		-0.45%	-2.07%	-1.33%	-1.19%	-1.54%	-1.85%	-1.74%	-1.94%	-4.45%	-3.94%	-2.77%
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	5	17	6	9	10	10	3
2019 Contract Condition		Yes	Yes		Yes	Yes				Yes	Yes	Yes
Action		No	Yes		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		14	25	27	29	32	33	34	34	34	34	34
Closed Lower		6	11	12	12	18	15	16	16	13	16	9
Penetrated Low		4	7	8	7	14	13	14	10	8	10	6
Scenario Percentage		67%	64%	67%	58%	78%	87%	88%	63%	62%	63%	67%
Avg Max Decline		9.27%	9.95%	10.24%	15.19%	12.43%	15.27%	13.59%	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	19	19	16	13	13	13
Avg Max Increase		-0.51%	-2.66%	-1.68%	-0.32%	-0.74%	-1.95%	-2.43%	-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	11	13	5	19	4
2019 Contract Condition				Yes			Yes	Yes	Yes
Action				No			Yes	Yes	No
High	204.26	220.12	215.00	216.70	217.04	228.74	235.33	200.39	174.24	168.34	179.40	192.23
Low	189.84	201.07	199.70	200.50	202.02	210.30	199.26	159.97	143.37	147.36	159.40	172.62
Close/Last	204.26	213.80	214.69	210.01	215.87	227.30	199.71	163.27	150.23	159.92	176.58	188.25