MRCI's ScenarioSM Study

ScenarioSM Study for July RBOB Gasoline(NYM) as of Nov 09, 2020
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		15	24	27	28	32	35	35	35	35	35	35
Closed Higher		9	13	12	16	17	19	22	17	26	26	19
Exceeded High		7	10	10	12	15	18	19	17	22	22	11
Scenario Percentage		78%	77%	83%	75%	88%	95%	86%	100%	85%	85%	58%
Avg Max Increase		5.34%	6.70%	7.94%	8.01%	11.06%	8.86%	12.81%	14.64%	11.97%	12.77%	8.00%
Max Increase		12.65%	13.21%	17.64%	13.11%	21.01%	21.50%	32.57%	30.89%	32.29%	64.48%	23.21%
Avg Days To Max Increase		17	16	14	22	17	18	20	21	16	13	19
Avg Max Decline		-1.59%	-1.93%	-1.09%	-1.90%	-1.22%	-1.47%	-4.07%	-2.91%	-3.30%	-2.31%	-3.08%
Max Decline		-7.41%	-3.52%	-6.49%	-7.78%	-8.06%	-8.15%	-17.05%	-13.80%	-13.26%	-9.95%	-6.34%
Avg Days to Max Decline		8	9	5	10	6	9	10	10	5	5	6
2020 Contract Condition		Yes		Yes	Yes	Yes	Yes				Yes	Yes
Action		No		No	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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		15	24	27	28	32	35	35	35	35	35	35
Closed Lower		6	11	14	12	15	16	13	18	9	9	16
Penetrated Low		5	7	11	10	13	9	8	10	5	7	13
Scenario Percentage		83%	64%	79%	83%	87%	56%	62%	56%	56%	78%	81%
Avg Max Decline		10.34%	14.33%	12.52%	15.59%	12.24%	15.28%	20.34%	14.01%	9.42%	9.12%	9.39%
Max Decline		23.47%	44.50%	49.69%	39.46%	27.20%	39.30%	65.38%	60.95%	15.58%	17.72%	25.46%
Avg Days To Max Decline		18	19	15	17	18	15	15	14	4	14	17
Avg Max Increase		-0.29%	-1.18%	-0.68%	-1.64%	-1.18%	-2.66%	-1.87%	-3.37%	-1.64%	-3.21%	-1.43%
Max Increase		-3.70%	-8.90%	-6.35%	-4.82%	-6.52%	-5.94%	-6.87%	-9.55%	-4.71%	-7.51%	-5.48%
Avg Days to Max Increase		8	7	9	4	10	8	8	15	3	10	6
2020 Contract Condition			Yes					Yes	Yes	Yes
Action			No					Yes	Yes	No
High	180.45	185.07	175.00	182.72	176.34	181.64	189.10	193.61	175.81	155.55	90.08	109.99
Low	162.15	172.27	158.40	159.61	161.26	170.37	171.80	163.35	143.73	56.95	57.50	76.34
Close/Last	178.90	179.25	164.76	166.44	169.84	173.19	184.43	164.51	145.83	71.65	80.79	107.85