MRCI's ScenarioSM Study

ScenarioSM Study for June RBOB Gasoline(NYM) as of Jan 01, 2018
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		14	24	26	29	31	32	32	32	32	32	32
Closed Higher		6	14	14	11	18	17	18	20	16	24	22
Exceeded High		5	13	11	9	12	14	18	18	16	21	17
Scenario Percentage		83%	93%	79%	82%	67%	82%	100%	90%	100%	88%	77%
Avg Max Increase		5.54%	10.08%	8.34%	7.43%	10.32%	12.01%	9.96%	13.25%	15.72%	13.83%	9.20%
Max Increase		10.27%	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		15	17	15	17	24	18	18	21	22	16	16
Avg Max Decline		-2.78%	-0.95%	-1.12%	-1.72%	-2.40%	-1.76%	-1.79%	-4.70%	-3.03%	-3.82%	-2.53%
Max Decline		-12.14%	-7.48%	-3.53%	-7.12%	-7.76%	-8.45%	-8.61%	-17.33%	-14.04%	-14.14%	-10.36%
Avg Days to Max Decline		5	8	9	5	15	5	9	11	11	6	4
2017 Contract Condition				Yes	Yes	Yes	Yes	Yes
Action				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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		14	24	26	29	31	32	32	32	32	32	32
Closed Lower		8	10	12	18	13	15	14	12	16	8	10
Penetrated Low		5	8	8	13	11	13	9	7	10	5	5
Scenario Percentage		63%	80%	67%	72%	85%	87%	64%	58%	63%	63%	50%
Avg Max Decline		11.34%	9.79%	13.52%	12.66%	14.09%	13.01%	15.60%	14.41%	8.88%	10.51%	6.33%
Max Decline		24.60%	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		11	20	17	17	18	19	16	14	12	4	10
Avg Max Increase		-0.90%	-1.94%	-1.36%	-0.87%	-2.02%	-2.06%	-2.87%	-1.28%	-2.88%	-2.05%	-0.81%
Max Increase		-5.30%	-10.55%	-9.12%	-6.98%	-4.79%	-11.90%	-6.95%	-6.40%	-9.52%	-4.71%	-2.60%
Avg Days to Max Increase		8	11	8	7	3	13	8	6	15	3	2
2017 Contract Condition		Yes	Yes						Yes	Yes	Yes	Yes
Action		Yes	Yes						Yes	Yes	Yes	Yes
High	168.51	171.02	164.95	163.70	165.12	174.36	173.41	187.71	190.12	182.58	176.22	176.96
Low	152.58	157.39	143.97	143.19	149.39	163.87	152.33	171.40	176.14	171.72	159.08	153.86
Close/Last	165.77	162.02	147.24	154.07	164.89	165.14	172.12	186.45	178.49	176.50	169.66	154.81