MRCI's ScenarioSM Study

ScenarioSM Study for October RBOB Gasoline(NYM) as of Jan 01, 2015
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		10	20	21	23	25	28	30	30	30	30	30
Closed Higher		6	10	12	12	16	22	21	15	16	20	18
Exceeded High		6	9	11	11	15	20	16	13	15	19	14
Scenario Percentage		100%	90%	92%	92%	94%	91%	76%	87%	94%	95%	78%
Avg Max Increase		7.25%	9.37%	9.32%	10.42%	11.29%	10.04%	9.89%	8.26%	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		21	19	19	18	18	16	15	19	17	15	16
Avg Max Decline		-1.24%	-1.30%	-1.11%	-2.74%	-1.77%	-2.56%	-1.70%	-2.81%	-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		15	10	9	9	10	6	7	12	12	9	5
2014 Contract Condition		Yes	Yes	Yes		Yes		Yes	Yes	Yes
Action		Yes	Yes	Yes		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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		10	20	21	23	25	28	30	30	30	30	30
Closed Lower		4	10	9	11	9	6	9	15	14	10	12
Penetrated Low		4	8	5	6	2	3	5	9	10	8	6
Scenario Percentage		100%	80%	56%	55%	22%	50%	56%	60%	71%	80%	50%
Avg Max Decline		16.66%	12.87%	12.30%	6.65%	8.43%	5.62%	9.84%	11.10%	8.34%	8.11%	12.07%
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	16	17	16	14	13	18
Avg Max Increase		-1.63%	0.53%	-1.58%	-1.92%	-2.43%	0.77%	-2.88%	-0.42%	-2.48%	-1.51%	-1.72%
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	15	14	4	7	4	4
2014 Contract Condition					Yes		Yes				Yes	Yes
Action					No		Yes				Yes	Yes
High	263.10	259.49	263.27	269.22	263.25	270.23	271.64	275.10	276.78	289.69	284.57	266.34
Low	249.32	246.46	248.98	259.06	252.20	252.48	257.71	257.42	263.45	268.34	263.78	251.86
Close/Last	249.52	255.51	260.78	265.54	254.07	267.09	266.20	267.91	272.49	283.66	265.50	262.29