MRCI's ScenarioSM Study

ScenarioSM Study for July 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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		7	16	19	20	24	27	27	27	27	27	27
Closed Higher		5	7	8	11	12	15	19	14	22	20	13
Exceeded High		4	6	7	7	10	14	17	14	19	17	7
Scenario Percentage		80%	86%	88%	64%	83%	93%	89%	100%	86%	85%	54%
Avg Max Increase		3.70%	5.33%	8.38%	7.78%	12.20%	10.42%	13.08%	15.93%	11.81%	11.18%	7.12%
Max Increase		4.39%	10.73%	17.64%	12.61%	21.01%	21.50%	32.57%	30.89%	32.29%	43.55%	12.35%
Avg Days To Max Increase		14	15	17	22	16	19	20	21	15	11	14
Avg Max Decline		-1.22%	-2.01%	-1.35%	-1.51%	-1.09%	-1.31%	-4.49%	-2.10%	-3.30%	-1.42%	-2.32%
Max Decline		-7.41%	-3.52%	-6.49%	-3.35%	-8.06%	-8.15%	-17.05%	-6.69%	-13.26%	-3.89%	-6.00%
Avg Days to Max Decline		8	14	6	14	5	10	11	8	6	4	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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		7	16	19	20	24	27	27	27	27	27	27
Closed Lower		2	9	10	9	12	12	8	13	5	7	14
Penetrated Low		2	6	7	7	10	7	5	7	3	5	12
Scenario Percentage		100%	67%	70%	78%	83%	58%	63%	54%	60%	71%	86%
Avg Max Decline		13.52%	14.12%	14.73%	13.96%	10.20%	14.57%	14.34%	8.15%	10.03%	9.96%	9.66%
Max Decline		23.47%	44.50%	49.69%	39.46%	27.20%	39.30%	36.30%	20.02%	15.58%	17.72%	25.46%
Avg Days To Max Decline		16	20	16	16	17	16	15	10	4	16	18
Avg Max Increase		-2.02%	-1.40%	0.30%	-2.16%	-0.24%	-2.84%	-1.32%	-3.10%	-1.22%	-3.04%	-1.47%
Max Increase		-3.70%	-8.90%	-2.07%	-4.82%	-5.67%	-5.94%	-6.58%	-9.55%	-4.65%	-7.01%	-5.48%
Avg Days to Max Increase		14	8	7	5	12	10	7	14	1	10	6
2012 Contract Condition			Yes	Yes							Yes	Yes
Action			Yes	Yes							Yes	Yes
High	298.93	303.19	302.00	289.46	277.77	280.22	276.70	296.36	324.66	332.18	327.47	308.54
Low	273.00	287.04	262.50	253.77	246.48	259.02	259.60	277.44	290.73	317.01	303.76	271.95
Close/Last	288.45	298.53	287.28	253.77	269.37	269.78	271.47	291.81	318.47	319.47	308.42	272.27