MRCI's ScenarioSM Study

ScenarioSM Study for August RBOB Gasoline(NYM) as of Jan 01, 2014
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		11	21	22	23	26	26	28	28	28	28	28
Closed Higher		5	9	11	10	14	17	16	23	19	14	13
Exceeded High		4	7	7	9	13	15	16	20	16	12	10
Scenario Percentage		80%	78%	64%	90%	93%	88%	100%	87%	84%	86%	77%
Avg Max Increase		9.36%	8.05%	7.26%	10.58%	10.46%	14.32%	13.20%	10.63%	11.48%	10.62%	9.15%
Max Increase		27.22%	17.17%	11.94%	20.89%	20.34%	33.07%	26.78%	30.63%	41.22%	16.94%	18.79%
Avg Days To Max Increase		17	16	22	17	20	20	18	14	15	16	16
Avg Max Decline		0.20%	-1.45%	-1.22%	-0.94%	-0.71%	-2.99%	-2.09%	-2.42%	-2.00%	-4.83%	-1.96%
Max Decline		-2.71%	-6.20%	-3.08%	-7.68%	-7.85%	-16.59%	-6.78%	-7.23%	-12.59%	-11.35%	-4.69%
Avg Days to Max Decline		6	6	14	7	8	9	7	6	7	11	4
2013 Contract Condition		Yes			Yes		Yes		Yes
Action		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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years		11	21	22	23	26	26	28	28	28	28	28
Closed Lower		6	11	11	12	12	9	12	5	9	14	15
Penetrated Low		4	8	8	10	7	5	6	4	6	11	7
Scenario Percentage		67%	73%	73%	83%	58%	56%	50%	80%	67%	79%	47%
Avg Max Decline		17.69%	13.17%	13.76%	10.99%	14.46%	13.95%	8.31%	7.76%	9.87%	11.32%	11.07%
Max Decline		44.19%	48.88%	38.92%	26.88%	38.53%	36.69%	20.43%	12.79%	19.87%	22.71%	21.86%
Avg Days To Max Decline		16	18	16	19	15	15	12	10	17	20	22
Avg Max Increase		-0.35%	0.13%	-2.15%	-0.63%	-2.38%	-1.22%	-3.44%	-0.92%	-2.88%	-2.44%	-1.81%
Max Increase		-2.09%	-2.20%	-4.96%	-11.66%	-5.81%	-6.19%	-8.84%	-5.11%	-7.24%	-10.57%	-4.95%
Avg Days to Max Increase		7	7	3	9	10	7	12	6	10	10	5
2013 Contract Condition			Yes	Yes		Yes		Yes		Yes	Yes	Yes
Action			Yes	No		No		Yes		No	No	Not Yet
High	262.67	283.03	288.92	282.75	279.36	279.36	298.95	311.84	305.08	303.51	287.85	290.27
Low	243.94	258.09	268.63	264.13	264.33	267.06	276.50	290.77	287.60	265.08	265.60	267.64
Close/Last	256.59	283.03	276.66	267.51	278.61	278.18	298.62	291.39	300.48	275.66	273.63	271.56