MRCI's ScenarioSM Study

ScenarioSM Study for October 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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		11	21	22	24	26	29	31	31	31	31	31
Closed Higher		6	10	12	12	17	22	22	16	16	20	18
Exceeded High		6	9	11	11	16	20	17	14	15	19	14
Scenario Percentage		100%	90%	92%	92%	94%	91%	77%	88%	94%	95%	78%
Avg Max Increase		7.25%	9.37%	9.32%	10.42%	10.84%	10.04%	9.53%	7.93%	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	19	16	15	19	17	15	16
Avg Max Decline		-1.24%	-1.30%	-1.11%	-2.74%	-2.56%	-2.56%	-1.97%	-3.03%	-3.77%	-2.08%	-1.38%
Max Decline		-3.21%	-7.74%	-7.27%	-16.80%	-14.34%	-9.22%	-9.97%	-6.60%	-16.43%	-11.37%	-5.71%
Avg Days to Max Decline		15	10	9	9	11	6	9	12	12	9	5
2015 Contract Condition						Yes		Yes	Yes
Action						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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		11	21	22	24	26	29	31	31	31	31	31
Closed Lower		5	11	10	12	9	7	9	15	15	11	13
Penetrated Low		5	9	6	6	2	3	5	9	11	9	6
Scenario Percentage		100%	82%	60%	50%	22%	43%	56%	60%	73%	82%	46%
Avg Max Decline		19.05%	14.18%	12.42%	6.65%	8.43%	5.62%	9.84%	11.10%	10.54%	9.64%	12.07%
Max Decline		39.95%	28.37%	26.11%	10.58%	8.53%	9.93%	23.01%	17.41%	32.55%	21.88%	18.20%
Avg Days To Max Decline		14	18	14	15	17	16	17	16	15	14	18
Avg Max Increase		-1.24%	0.09%	-1.29%	-1.92%	-2.43%	0.77%	-2.88%	-0.42%	-2.23%	-1.29%	-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		7	7	6	3	17	15	14	4	7	4	4
2015 Contract Condition		Yes	Yes	Yes	Yes		Yes			Yes	Yes	Yes
Action		Yes	Yes	Yes	No		No			Yes	Yes	Not Yet
High	251.88	238.57	219.44	191.78	160.43	175.85	174.20	183.03	189.06	189.79	181.62	156.57
Low	239.15	215.44	185.40	157.19	139.74	152.31	150.64	154.36	171.37	172.49	153.63	122.79
Close/Last	239.15	220.13	185.40	160.63	156.11	175.85	156.74	182.82	183.18	182.04	157.18	149.91