MRCI's ScenarioSM Study

ScenarioSM Study for August RBOB Gasoline(NYM) as of Jan 01, 2016
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		13	23	24	25	28	28	30	30	30	30	30
Closed Higher		6	9	12	11	15	17	18	23	21	16	15
Exceeded High		4	7	8	10	14	15	18	20	18	14	10
Scenario Percentage		67%	78%	67%	91%	93%	88%	100%	87%	86%	88%	67%
Avg Max Increase		9.36%	8.05%	7.12%	9.88%	9.84%	14.32%	12.22%	10.63%	11.01%	9.92%	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	23	18	20	20	19	14	15	16	16
Avg Max Decline		0.20%	-1.45%	-1.39%	-0.92%	-1.05%	-2.99%	-2.83%	-2.42%	-2.20%	-4.64%	-1.96%
Max Decline		-2.71%	-6.20%	-3.08%	-7.68%	-7.85%	-16.59%	-13.61%	-7.23%	-12.59%	-11.35%	-4.69%
Avg Days to Max Decline		6	6	13	7	9	9	9	6	8	10	4
2015 Contract Condition								Yes		Yes	Yes	Yes
Action								Yes		Yes	Yes	Not Yet

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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		13	23	24	25	28	28	30	30	30	30	30
Closed Lower		7	13	12	13	13	11	12	7	9	14	15
Penetrated Low		5	10	9	11	8	5	6	5	6	11	7
Scenario Percentage		71%	77%	75%	85%	62%	45%	50%	71%	67%	79%	47%
Avg Max Decline		17.07%	12.78%	15.35%	12.14%	14.08%	13.95%	8.31%	6.86%	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	17	17	19	15	15	12	8	17	20	22
Avg Max Increase		-0.23%	0.03%	-1.88%	-0.86%	-2.04%	-1.22%	-3.44%	-0.69%	-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		6	6	3	8	9	7	12	5	10	10	5
2015 Contract Condition		Yes	Yes	Yes	Yes	Yes	Yes		Yes
Action		Yes	Yes	Yes	Yes	Yes	No		No
High	281.30	273.43	268.53	256.93	234.17	206.73	172.22	191.70	191.74	201.08	206.37	213.71
Low	273.79	266.00	253.80	229.83	200.27	168.98	153.00	166.95	165.38	170.09	189.80	192.10
Close/Last	274.30	269.14	254.66	234.79	200.27	172.75	170.05	191.44	172.89	200.70	202.92	204.94