MRCI's ScenarioSM Study

ScenarioSM Study for June RBOB Gasoline(NYM) as of Jan 01, 2014
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		10	20	22	25	27	28	28	28	28	28	28
Closed Higher		4	13	11	10	15	15	16	20	14	23	19
Exceeded High		4	12	10	8	10	12	16	18	14	20	15
Scenario Percentage		100%	92%	91%	80%	67%	80%	100%	90%	100%	87%	79%
Avg Max Increase		4.35%	10.60%	7.85%	7.64%	10.28%	12.77%	10.95%	13.25%	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	16	15	16	23	18	19	21	21	15	14
Avg Max Decline		-3.67%	-0.78%	-0.92%	-1.85%	-1.82%	-1.93%	-1.53%	-4.70%	-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	10	5	16	5	9	11	9	6	4
2013 Contract Condition			Yes	Yes			Yes	Yes	Yes		Yes
Action			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		10	20	22	25	27	28	28	28	28	28	28
Closed Lower		6	7	11	15	12	13	12	8	14	5	9
Penetrated Low		3	5	7	10	10	11	7	5	9	3	4
Scenario Percentage		50%	71%	64%	67%	83%	85%	58%	63%	64%	60%	44%
Avg Max Decline		6.82%	10.58%	13.15%	13.45%	12.62%	11.22%	14.92%	14.91%	8.44%	11.59%	6.32%
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	18	17	19	18	16	10	4	12
Avg Max Increase		-1.11%	-3.15%	-1.55%	0.07%	-2.18%	-1.81%	-3.10%	-1.40%	-3.17%	-1.99%	-0.90%
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	3
2013 Contract Condition		Yes			Yes	Yes				Yes		Yes
Action		No			Yes	Yes				Yes		Yes
High	294.21	257.80	269.55	292.12	297.50	291.84	287.30	289.73	309.60	324.12	318.55	311.83
Low	257.34	235.95	248.39	262.15	273.12	269.60	268.47	273.37	284.18	300.27	297.96	269.79
Close/Last	257.34	251.78	262.82	290.21	283.76	274.19	285.95	286.22	309.19	302.30	308.36	280.20