MRCI's ScenarioSM Study

ScenarioSM Study for August RBOB Gasoline(NYM) as of Oct 20, 2019
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		17	27	28	29	32	32	34	34	34	34	34
Closed Higher		10	12	15	13	17	19	19	26	24	19	16
Exceeded High		7	10	10	12	16	16	19	23	20	15	11
Scenario Percentage		70%	83%	67%	92%	94%	84%	100%	88%	83%	79%	69%
Avg Max Increase		9.93%	7.63%	7.71%	9.91%	9.02%	14.42%	12.40%	10.95%	10.47%	9.67%	8.99%
Max Increase		27.22%	17.17%	13.02%	20.89%	20.34%	33.07%	26.78%	30.63%	41.22%	16.94%	18.79%
Avg Days To Max Increase		17	14	24	17	19	20	19	15	16	17	16
Avg Max Decline		-0.63%	-1.04%	-1.99%	-0.90%	-1.10%	-2.83%	-2.79%	-2.52%	-2.60%	-5.15%	-1.94%
Max Decline		-2.71%	-6.20%	-7.66%	-7.68%	-7.85%	-16.59%	-13.61%	-7.23%	-12.59%	-12.28%	-4.69%
Avg Days to Max Decline		4	4	12	7	8	9	8	6	7	11	4
2019 Contract Condition		Yes	Yes				Yes	Yes	Yes	Yes		Yes
Action		Yes	Yes				Yes	Yes	Yes	No		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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years		17	27	28	29	32	32	34	34	34	34	34
Closed Lower		7	14	13	15	15	13	15	8	10	15	18
Penetrated Low		5	11	10	13	9	7	7	6	7	12	8
Scenario Percentage		71%	79%	77%	87%	60%	54%	47%	75%	70%	80%	44%
Avg Max Decline		17.07%	12.23%	16.57%	12.81%	15.10%	13.52%	8.79%	7.91%	9.95%	10.88%	11.56%
Max Decline		44.19%	48.88%	38.92%	26.88%	38.53%	36.69%	20.43%	13.15%	19.87%	22.71%	21.86%
Avg Days To Max Decline		16	17	18	19	14	14	14	7	17	19	22
Avg Max Increase		-0.23%	-0.52%	-1.72%	-1.48%	-2.19%	-1.07%	-2.99%	-1.41%	-3.48%	-2.31%	-1.79%
Max Increase		-2.09%	-5.94%	-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	7	8	6	16	6	12	9	4
2019 Contract Condition				Yes	Yes	Yes					Yes
Action				Yes	Yes	No					Yes
High	209.62	210.75	221.44	228.69	197.85	172.14	167.18	178.27	185.50	203.25	201.12	194.33
Low	194.26	196.50	206.41	197.15	158.57	143.00	146.72	159.35	171.70	183.81	172.58	163.39
Close/Last	203.67	209.70	221.44	197.46	161.85	149.38	159.98	175.54	183.30	199.96	173.92	189.66