MRCI's ScenarioSM Study

ScenarioSM Study for June RBOB Gasoline(NYM) as of Jan 01, 2013
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		9	19	21	24	26	27	27	27	27	27	27
Closed Higher		4	12	10	10	15	14	15	19	14	22	19
Exceeded High		4	11	9	8	10	11	15	17	14	20	15
Scenario Percentage		100%	92%	90%	80%	67%	79%	100%	89%	100%	91%	79%
Avg Max Increase		4.35%	10.36%	8.45%	7.64%	10.28%	13.18%	10.80%	13.74%	17.31%	13.82%	10.00%
Max Increase		6.66%	52.68%	28.27%	17.83%	17.58%	23.63%	23.34%	32.68%	36.66%	36.31%	33.03%
Avg Days To Max Increase		12	17	15	16	23	17	19	21	21	15	14
Avg Max Decline		-3.67%	-0.83%	-0.89%	-1.85%	-1.82%	-1.71%	-1.59%	-4.95%	-2.14%	-3.71%	-1.91%
Max Decline		-12.14%	-7.48%	-3.53%	-7.12%	-5.04%	-8.45%	-8.61%	-17.33%	-7.19%	-14.14%	-9.92%
Avg Days to Max Decline		6	8	11	5	16	5	9	11	9	6	4
2012 Contract Condition			Yes			Yes	Yes	Yes	Yes	Yes	Yes
Action			No			Yes	Yes	Yes	Yes	Yes	No

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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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		9	19	21	24	26	27	27	27	27	27	27
Closed Lower		5	7	11	14	11	13	12	8	13	5	8
Penetrated Low		3	5	7	9	9	11	7	5	8	3	3
Scenario Percentage		60%	71%	64%	64%	82%	85%	58%	63%	62%	60%	38%
Avg Max Decline		6.82%	10.58%	13.15%	14.35%	13.79%	11.22%	14.92%	14.91%	8.15%	11.59%	7.07%
Max Decline		10.51%	23.55%	44.81%	50.50%	40.45%	27.97%	39.48%	35.67%	18.62%	18.26%	9.21%
Avg Days To Max Decline		10	20	18	19	18	19	18	16	10	4	16
Avg Max Increase		-1.11%	-3.15%	-1.55%	0.40%	-2.32%	-1.81%	-3.10%	-1.40%	-2.89%	-1.99%	-1.23%
Max Increase		-5.30%	-10.55%	-9.12%	-2.94%	-4.79%	-11.90%	-6.95%	-6.40%	-9.52%	-4.71%	-2.60%
Avg Days to Max Increase		13	16	9	7	3	15	10	6	12	1	4
2012 Contract Condition		Yes		Yes	Yes							Yes
Action		Yes		Yes	Yes							Yes
High	314.40	301.50	305.00	304.78	292.20	281.50	284.83	281.43	301.27	328.64	336.89	334.39
Low	272.89	273.20	285.98	259.20	254.97	245.54	261.95	260.38	278.01	293.33	319.93	307.44
Close/Last	296.48	289.65	300.44	289.56	255.45	271.48	272.20	274.10	295.62	322.24	324.93	312.46