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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October RBOB Gasoline(NYM) as of Jan 01, 2018
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   13 23 24 26 28 31 33 33 33 33 33
Closed Higher   8 11 13 12 17 23 23 18 16 21 20
Exceeded High   7 10 12 11 16 21 18 16 15 20 16
Scenario Percentage   88% 91% 92% 92% 94% 91% 78% 89% 94% 95% 80%
Avg Max Increase   8.08% 9.49% 8.70% 10.42% 10.84% 10.41% 9.35% 7.62% 12.71% 16.41% 9.48%
Max Increase   13.05% 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   22 17 17 18 19 16 15 19 17 14 15
Avg Max Decline   -2.19% -1.13% -1.18% -2.74% -2.56% -2.75% -2.36% -3.49% -3.77% -2.33% -1.79%
Max Decline   -7.93% -7.74% -7.27% -16.80% -14.34% -9.22% -9.97% -11.36% -16.43% -11.37% -5.71%
Avg Days to Max Decline   15 9 9 9 11 6 9 12 12 9 3
2017 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   13 23 24 26 28 31 33 33 33 33 33
Closed Lower   5 12 11 14 11 8 10 15 17 12 13
Penetrated Low   5 10 7 8 3 4 6 9 12 9 6
Scenario Percentage   100% 83% 64% 57% 27% 50% 60% 60% 71% 75% 46%
Avg Max Decline   19.05% 15.19% 14.06% 8.18% 9.03% 7.35% 9.88% 11.10% 10.96% 9.64% 12.07%
Max Decline   39.95% 28.37% 26.11% 15.32% 10.21% 12.54% 23.01% 17.41% 32.55% 21.88% 18.20%
Avg Days To Max Decline   14 18 13 14 20 13 17 16 16 14 18
Avg Max Increase   -1.24% -0.30% -1.62% -1.61% -1.93% -0.83% -3.57% -0.42% -2.22% -1.29% -1.72%
Max Increase   -4.35% -6.92% -4.30% -6.28% -4.60% -5.64% -7.04% -1.46% -7.84% -5.05% -3.71%
Avg Days to Max Increase   7 6 5 3 25 14 16 4 6 4 4
2017 Contract Condition         Yes Yes Yes Yes   Yes    
Action         Yes Yes Yes Yes   No    
High 147.73 156.47 153.95 167.17 170.13 162.48 158.52 160.19 153.53 147.38 156.24 178.25
Low 134.04 147.28 136.15 154.46 156.89 154.59 142.56 142.50 132.63 129.02 136.34 145.03
Close/Last 147.73 147.87 153.95 167.01 158.78 158.71 151.64 143.51 145.55 140.80 155.97 177.92

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