MRCI's ScenarioSM Study

ScenarioSM Study for October 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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		9	19	20	22	24	27	29	29	29	29	29
Closed Higher		5	9	11	12	15	22	20	14	15	20	18
Exceeded High		5	8	10	11	14	20	15	12	15	19	14
Scenario Percentage		100%	89%	91%	92%	93%	91%	75%	86%	100%	95%	78%
Avg Max Increase		7.63%	10.14%	10.08%	10.42%	11.88%	10.04%	10.00%	8.42%	12.71%	16.72%	10.26%
Max Increase		11.40%	20.39%	19.77%	21.39%	23.01%	29.75%	39.07%	13.59%	55.16%	77.28%	23.35%
Avg Days To Max Increase		19	18	19	18	18	16	14	19	17	15	16
Avg Max Decline		-0.97%	-1.38%	-0.72%	-2.74%	-1.64%	-2.56%	-1.70%	-2.92%	-3.77%	-2.08%	-1.38%
Max Decline		-3.21%	-7.74%	-7.27%	-16.80%	-6.42%	-9.22%	-9.97%	-6.60%	-16.43%	-11.37%	-5.71%
Avg Days to Max Decline		17	10	9	9	9	6	8	13	12	9	5
2013 Contract Condition			Yes	Yes	Yes		Yes		Yes	Yes	Yes	Yes
Action			Yes	Yes	Yes		No		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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		9	19	20	22	24	27	29	29	29	29	29
Closed Lower		4	10	9	10	9	5	9	15	14	9	11
Penetrated Low		4	8	5	6	2	2	5	9	10	7	5
Scenario Percentage		100%	80%	56%	60%	22%	40%	56%	60%	71%	78%	45%
Avg Max Decline		16.66%	12.87%	12.30%	6.65%	8.43%	6.78%	9.84%	11.10%	8.34%	8.40%	13.51%
Max Decline		39.95%	28.37%	26.11%	10.58%	8.53%	9.93%	23.01%	17.41%	20.74%	21.75%	18.20%
Avg Days To Max Decline		10	19	14	15	17	24	17	16	14	12	19
Avg Max Increase		-1.63%	0.53%	-1.58%	-1.92%	-2.43%	0.99%	-2.88%	-0.42%	-2.48%	-1.68%	-1.97%
Max Increase		-4.35%	-6.92%	-4.30%	-6.28%	-4.60%	-0.66%	-7.04%	-1.46%	-7.84%	-5.05%	-3.71%
Avg Days to Max Increase		9	7	6	3	17	23	14	4	7	3	4
2013 Contract Condition		Yes				Yes		Yes
Action		Yes				Yes		No
High	269.92	263.44	260.40	261.17	276.68	288.88	281.50	281.50	269.87	274.60	292.01	298.21
Low	250.32	246.78	246.31	250.30	259.91	268.82	265.21	246.68	248.36	254.71	257.55	269.93
Close/Last	258.14	249.54	260.08	260.19	276.68	269.11	279.35	257.42	257.50	258.35	284.63	289.01