MRCI's ScenarioSM Study

ScenarioSM Study for September 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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years		9	21	23	26	26	27	28	29	29	29	29
Closed Higher		4	10	10	14	16	16	24	21	14	14	19
Exceeded High		4	6	9	13	14	15	21	18	12	14	17
Scenario Percentage		100%	60%	90%	93%	88%	94%	88%	86%	86%	100%	89%
Avg Max Increase		7.42%	7.57%	9.83%	10.01%	13.03%	12.84%	10.57%	10.11%	8.41%	11.56%	13.75%
Max Increase		16.67%	11.49%	20.78%	19.30%	30.40%	23.87%	29.60%	39.34%	13.06%	38.03%	77.71%
Avg Days To Max Increase		14	25	16	19	18	18	15	15	16	15	18
Avg Max Decline		-0.95%	-1.59%	-1.04%	-0.69%	-3.12%	-1.42%	-2.89%	-1.90%	-4.10%	-4.17%	-1.71%
Max Decline		-1.81%	-2.49%	-7.53%	-7.48%	-16.73%	-5.52%	-9.33%	-10.88%	-10.39%	-15.86%	-8.58%
Avg Days to Max Decline		8	13	8	9	9	7	6	6	13	10	5
2013 Contract Condition				Yes		Yes		Yes				Yes
Action				Yes		Yes		No				Yes

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.

Condition 2: Lower Monthly Close. Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years		9	21	23	26	26	27	28	29	29	29	29
Closed Lower		5	11	13	12	10	11	4	8	15	15	10
Penetrated Low		4	9	10	7	5	5	3	6	11	9	6
Scenario Percentage		80%	82%	77%	58%	50%	45%	75%	75%	73%	60%	60%
Avg Max Decline		14.80%	12.04%	11.23%	14.50%	13.61%	9.24%	6.46%	8.48%	10.41%	9.28%	10.18%
Max Decline		48.31%	38.42%	26.77%	38.53%	37.23%	21.49%	10.97%	21.11%	19.59%	20.50%	22.97%
Avg Days To Max Decline		8	14	20	15	19	14	10	16	19	14	15
Avg Max Increase		-0.14%	-1.71%	0.14%	-1.86%	-0.64%	-3.28%	-1.34%	-2.85%	-1.80%	-3.22%	-2.23%
Max Increase		-2.00%	-5.28%	-6.38%	-5.91%	-6.05%	-8.64%	-4.73%	-7.50%	-9.98%	-9.82%	-5.05%
Avg Days to Max Increase		4	5	8	6	5	14	12	16	9	7	2
2013 Contract Condition		Yes	Yes		Yes		Yes		Yes	Yes	Yes
Action		Yes	Yes		No		Yes		No	No	No
High	278.55	284.52	277.89	275.29	276.42	293.46	306.44	299.03	298.25	284.51	288.21	309.17
Low	254.19	264.57	260.27	260.13	263.38	272.77	284.15	281.86	261.33	262.46	266.21	268.91
Close/Last	278.55	272.44	263.29	274.53	273.79	293.14	285.95	295.47	272.08	271.21	269.88	299.63