MRCI's ScenarioSM Study

ScenarioSM Study for September 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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years		11	23	25	28	28	29	30	31	31	31	31
Closed Higher		4	11	11	15	16	18	24	23	16	16	19
Exceeded High		4	7	10	14	14	17	21	20	14	14	17
Scenario Percentage		100%	64%	91%	93%	88%	94%	88%	87%	88%	88%	89%
Avg Max Increase		7.42%	7.32%	9.21%	9.41%	13.03%	11.83%	10.57%	9.77%	7.99%	13.60%	15.15%
Max Increase		16.67%	11.49%	20.78%	19.30%	30.40%	23.87%	29.60%	39.34%	13.06%	59.71%	77.71%
Avg Days To Max Increase		14	25	17	19	18	19	15	16	16	16	19
Avg Max Decline		-0.95%	-1.72%	-1.03%	-1.02%	-3.12%	-2.25%	-2.89%	-2.09%	-4.02%	-4.17%	-1.71%
Max Decline		-1.81%	-2.49%	-7.53%	-7.48%	-16.73%	-13.47%	-9.33%	-10.88%	-10.39%	-15.86%	-8.58%
Avg Days to Max Decline		8	12	9	11	9	9	6	7	12	10	5
2015 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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years		11	23	25	28	28	29	30	31	31	31	31
Closed Lower		7	12	14	13	12	11	6	8	15	15	12
Penetrated Low		6	10	11	8	6	5	4	6	11	9	8
Scenario Percentage		86%	83%	79%	62%	50%	45%	67%	75%	73%	60%	67%
Avg Max Decline		13.68%	13.67%	12.37%	14.18%	11.49%	9.24%	5.64%	8.48%	10.41%	9.28%	11.33%
Max Decline		48.31%	38.42%	26.77%	38.53%	37.23%	21.49%	10.97%	21.11%	19.59%	20.50%	23.81%
Avg Days To Max Decline		10	16	19	15	16	14	8	16	19	14	17
Avg Max Increase		-0.24%	-1.51%	-0.12%	-1.58%	-0.61%	-3.28%	-0.94%	-2.85%	-1.80%	-3.22%	-1.67%
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		3	5	7	5	5	14	9	16	9	7	4
2015 Contract Condition		Yes	Yes	Yes	Yes	Yes		Yes				Yes
Action		Yes	Yes	Yes	Yes	No		No				Yes
High	270.62	265.38	254.24	232.01	203.18	170.73	189.08	189.11	198.23	204.10	208.66	200.76
Low	263.25	251.55	227.14	197.35	166.61	150.81	165.15	163.38	167.78	186.77	188.29	172.68
Close/Last	265.99	252.09	232.67	197.84	171.38	168.05	188.81	170.67	198.03	199.27	199.97	177.20