|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for August RBOB Gasoline(NYM) as of Apr 30, 2011 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
|
8 |
18 |
19 |
20 |
23 |
23 |
25 |
25 |
25 |
25 |
25 |
| Closed Higher |
|
4 |
8 |
9 |
8 |
12 |
14 |
14 |
20 |
18 |
14 |
13 |
| Exceeded High |
|
3 |
6 |
5 |
7 |
11 |
12 |
14 |
19 |
15 |
12 |
10 |
| Scenario Percentage |
|
75% |
75% |
56% |
88% |
92% |
86% |
100% |
95% |
83% |
86% |
77% |
| Avg Max Increase |
|
11.78% |
8.37% |
6.98% |
10.39% |
8.93% |
15.08% |
13.72% |
10.73% |
12.22% |
9.72% |
8.33% |
| Max Increase |
|
27.22% |
17.17% |
11.02% |
20.89% |
20.34% |
33.07% |
26.78% |
30.63% |
41.22% |
16.94% |
18.79% |
| Avg Days To Max Increase |
|
19 |
17 |
24 |
13 |
19 |
19 |
18 |
15 |
16 |
15 |
14 |
| Avg Max Decline |
|
0.64% |
-1.50% |
-0.99% |
-0.86% |
-0.89% |
-3.49% |
-2.05% |
-2.54% |
-1.97% |
-4.83% |
-1.96% |
| Max Decline |
|
-2.71% |
-6.20% |
-2.70% |
-7.68% |
-7.85% |
-16.59% |
-6.78% |
-7.23% |
-12.59% |
-11.35% |
-4.69% |
| Avg Days to Max Decline |
|
6 |
4 |
15 |
7 |
9 |
11 |
6 |
7 |
7 |
11 |
4 |
| 2011 Contract Condition |
|
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
| Action |
|
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
|
8 |
18 |
19 |
20 |
23 |
23 |
25 |
25 |
25 |
25 |
25 |
| Closed Lower |
|
4 |
9 |
10 |
12 |
11 |
9 |
11 |
5 |
7 |
11 |
12 |
| Penetrated Low |
|
3 |
6 |
8 |
10 |
7 |
5 |
5 |
4 |
5 |
9 |
7 |
| Scenario Percentage |
|
75% |
67% |
80% |
83% |
64% |
56% |
45% |
80% |
71% |
82% |
58% |
| Avg Max Decline |
|
18.67% |
16.20% |
13.76% |
10.99% |
14.46% |
13.95% |
8.17% |
7.76% |
7.87% |
11.44% |
10.83% |
| Max Decline |
|
44.19% |
48.88% |
38.92% |
26.88% |
38.53% |
36.69% |
20.43% |
12.79% |
11.10% |
22.71% |
21.86% |
| Avg Days To Max Decline |
|
20 |
19 |
16 |
19 |
15 |
15 |
11 |
10 |
16 |
18 |
21 |
| Avg Max Increase |
|
-0.25% |
0.32% |
-2.15% |
-0.63% |
-2.38% |
-1.22% |
-3.19% |
-0.92% |
-3.43% |
-2.85% |
-1.81% |
| Max Increase |
|
-2.09% |
-1.81% |
-4.96% |
-11.66% |
-5.81% |
-6.19% |
-8.84% |
-5.11% |
-7.24% |
-10.57% |
-4.95% |
| Avg Days to Max Increase |
|
8 |
8 |
3 |
9 |
10 |
7 |
12 |
6 |
12 |
10 |
5 |
| 2011 Contract Condition |
|
Yes |
|
|
|
|
|
|
|
|
Yes |
|
| Action |
|
No |
|
|
|
|
|
|
|
|
|
|
| High |
221.45 |
229.33 |
223.52 |
230.24 |
237.27 |
250.37 |
264.50 |
297.30 |
305.42 |
331.00 |
331.88 |
|
| Low |
204.47 |
204.44 |
211.50 |
220.96 |
222.41 |
233.50 |
246.88 |
259.38 |
274.70 |
304.79 |
322.66 |
|
| Close/Last |
221.45 |
209.39 |
223.52 |
223.66 |
229.50 |
250.37 |
263.64 |
289.92 |
305.27 |
330.62 |
326.79 |
|
|
|
| Copyright © 2024 Moore Research Center, Inc. All Rights Reserved. |
| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
