MRCI's ScenarioSM Study

ScenarioSM Study for October RBOB Gasoline(NYM) as of Jan 01, 2010
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years	5	15	16	18	20	23	25	25	25	25	25
Closed Higher	2	6	8	9	12	18	18	13	13	16	16
Exceeded High	2	5	7	8	11	18	13	11	13	15	13
Scenario Percentage	100%	83%	88%	89%	92%	100%	72%	85%	100%	94%	81%
Avg Max Increase	8.68%	11.19%	7.37%	10.29%	12.57%	10.29%	11.39%	7.97%	12.82%	18.22%	9.87%
Max Increase	10.38%	20.39%	16.69%	21.39%	23.01%	29.75%	39.07%	13.59%	55.16%	77.28%	23.35%
Avg Days To Max Increase	28	14	17	17	17	17	16	19	18	15	15
Avg Max Decline	-2.30%	-0.42%	-1.26%	-3.55%	-1.56%	-2.79%	-1.86%	-3.08%	-3.93%	-2.14%	-1.05%
Max Decline	-3.21%	-1.88%	-7.27%	-16.80%	-6.42%	-9.22%	-9.97%	-6.60%	-16.43%	-11.37%	-5.49%
Avg Days to Max Decline	30	11	10	11	9	7	8	12	13	10	4
2009 Contract Condition				Yes		Yes	Yes	Yes	Yes	Yes
Action				Yes		Yes	Yes	Yes	Yes	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	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years	5	15	16	18	20	23	25	25	25	25	25
Closed Lower	3	9	8	9	8	5	7	12	12	9	9
Penetrated Low	3	8	4	5	1	2	4	7	9	7	5
Scenario Percentage	100%	89%	50%	56%	12%	40%	57%	58%	75%	78%	56%
Avg Max Decline	21.78%	12.87%	12.62%	7.35%	8.53%	6.78%	6.54%	11.15%	7.88%	8.40%	13.51%
Max Decline	39.95%	28.37%	26.11%	10.58%	8.53%	9.93%	8.98%	17.41%	20.74%	21.75%	18.20%
Avg Days To Max Decline	13	19	16	17	17	24	16	14	14	12	19
Avg Max Increase	-1.89%	0.53%	-0.89%	-1.05%	-0.25%	0.99%	-3.55%	-0.36%	-1.95%	-1.68%	-1.97%
Max Increase	-4.35%	-6.92%	-2.71%	-3.30%	-0.25%	-0.66%	-7.04%	-1.11%	-7.84%	-5.05%	-3.71%
Avg Days to Max Increase	11	7	5	3	2	23	18	2	4	3	4
2009 Contract Condition	Yes	Yes	Yes		Yes						Yes
Action	Yes	Yes	No		No						Yes
High	250.00	179.62	135.09	139.87	132.00	147.30	147.02	176.00	193.00	190.50	197.20
Low	158.30	125.40	103.37	118.57	107.47	116.00	129.50	139.15	171.63	150.51	176.48
Close/Last	172.14	144.31	127.25	129.17	125.25	135.65	138.78	175.39	180.09	189.93	180.99