MRCI's ScenarioSM Study

ScenarioSM Study for October RBOB Gasoline(NYM) as of Jun 08, 2020
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		15	25	26	28	30	33	35	35	35	35	35
Closed Higher		9	12	14	14	18	25	25	19	18	22	21
Exceeded High		8	11	13	13	17	23	19	16	17	20	17
Scenario Percentage		89%	92%	93%	93%	94%	92%	76%	84%	94%	91%	81%
Avg Max Increase		7.97%	9.49%	8.40%	10.21%	11.02%	10.57%	9.27%	7.62%	11.61%	16.60%	9.49%
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		23	18	18	19	19	17	15	19	17	14	17
Avg Max Decline		-2.06%	-1.22%	-1.16%	-3.09%	-2.54%	-2.66%	-2.40%	-3.49%	-3.66%	-2.33%	-1.92%
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		13	9	8	8	10	6	8	12	11	9	5
2019 Contract Condition					Yes	Yes	Yes	Yes		Yes	Yes
Action					Yes	Yes	Yes	No		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		15	25	26	28	30	33	35	35	35	35	35
Closed Lower		6	13	12	14	12	8	10	16	17	13	14
Penetrated Low		6	11	7	8	3	4	6	10	12	9	7
Scenario Percentage		100%	85%	58%	57%	25%	50%	60%	63%	71%	69%	50%
Avg Max Decline		20.73%	14.94%	14.06%	8.18%	9.03%	7.35%	9.88%	10.61%	10.96%	9.64%	11.11%
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		16	19	13	14	20	13	17	15	16	14	16
Avg Max Increase		-1.07%	-0.91%	-1.62%	-1.61%	-1.93%	-0.83%	-3.57%	-0.47%	-2.22%	-1.29%	-1.48%
Max Increase		-4.35%	-6.99%	-4.30%	-6.28%	-4.60%	-5.64%	-7.04%	-1.46%	-7.84%	-5.05%	-3.71%
Avg Days to Max Increase		6	6	5	3	25	14	16	4	6	4	4
2019 Contract Condition		Yes	Yes	Yes					Yes			Yes
Action		Yes	Yes	No					Yes			Yes
High	206.18	213.00	183.84	158.65	154.29	164.91	170.65	184.78	182.13	172.70	179.62	169.08
Low	190.49	183.18	144.96	129.98	133.71	146.85	158.33	168.91	154.62	146.38	161.47	146.09
Close/Last	205.02	183.43	148.29	136.37	147.10	162.09	168.13	181.70	155.96	169.80	170.63	152.97