MRCI's ScenarioSM Study

ScenarioSM Study for June RBOB Gasoline(NYM) as of Jan 01, 2016
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		12	22	24	27	29	30	30	30	30	30	30
Closed Higher		6	14	12	10	16	16	17	20	16	23	21
Exceeded High		5	13	10	8	11	13	17	18	16	20	16
Scenario Percentage		83%	93%	83%	80%	69%	81%	100%	90%	100%	87%	76%
Avg Max Increase		5.54%	10.08%	7.85%	7.64%	10.02%	12.13%	10.43%	13.25%	15.72%	13.51%	9.27%
Max Increase		10.27%	52.68%	28.27%	17.83%	17.58%	23.63%	23.34%	32.68%	36.66%	34.21%	30.99%
Avg Days To Max Increase		15	17	15	16	23	19	19	21	22	15	15
Avg Max Decline		-2.78%	-0.95%	-0.92%	-1.85%	-1.91%	-1.87%	-1.77%	-4.70%	-3.03%	-3.71%	-2.04%
Max Decline		-12.14%	-7.48%	-3.53%	-7.12%	-5.04%	-8.45%	-8.61%	-17.33%	-14.04%	-14.14%	-9.92%
Avg Days to Max Decline		5	8	10	5	15	5	9	11	11	6	4
2015 Contract Condition		Yes								Yes		Yes
Action		No								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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		12	22	24	27	29	30	30	30	30	30	30
Closed Lower		6	8	12	17	13	14	13	10	14	7	9
Penetrated Low		3	6	8	12	11	12	8	5	9	4	4
Scenario Percentage		50%	75%	67%	71%	85%	86%	62%	50%	64%	57%	44%
Avg Max Decline		6.82%	10.12%	13.52%	13.13%	14.09%	12.34%	14.53%	14.91%	8.44%	9.50%	6.19%
Max Decline		10.51%	23.55%	44.81%	50.50%	40.45%	27.97%	39.48%	35.67%	18.62%	18.26%	8.67%
Avg Days To Max Decline		10	22	17	18	18	18	17	16	10	4	10
Avg Max Increase		-1.11%	-2.66%	-1.36%	-0.36%	-2.02%	-1.92%	-2.79%	-1.40%	-3.17%	-1.48%	-0.90%
Max Increase		-5.30%	-10.55%	-9.12%	-3.80%	-4.79%	-11.90%	-6.95%	-6.40%	-9.52%	-4.71%	-2.60%
Avg Days to Max Increase		13	14	8	7	3	14	9	6	12	1	3
2015 Contract Condition			Yes	Yes	Yes	Yes	Yes	Yes	Yes		Yes
Action			Yes	Yes	Yes	Yes	Yes	Yes	No		No
High	278.96	291.07	287.41	279.71	274.10	261.67	238.69	210.50	175.52	196.17	195.48	205.02
Low	270.00	274.70	278.06	269.85	257.26	230.07	203.42	169.39	153.70	168.45	167.99	172.70
Close/Last	276.08	286.54	279.10	274.07	258.39	237.67	203.97	174.37	171.65	195.43	175.83	204.51