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