MRCI's ScenarioSM Study

ScenarioSM Study for October RBOB Gasoline(NYM) as of Nov 09, 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		16	26	27	29	31	34	36	36	36	36	36
Closed Higher		10	13	15	14	18	25	26	20	19	22	22
Exceeded High		9	12	14	13	17	23	20	17	18	20	17
Scenario Percentage		90%	92%	93%	93%	94%	92%	77%	85%	95%	91%	77%
Avg Max Increase		8.48%	9.78%	8.19%	10.21%	11.02%	10.57%	11.68%	8.35%	11.92%	16.60%	9.49%
Max Increase		13.05%	20.39%	19.77%	21.39%	23.01%	29.75%	57.39%	19.90%	55.16%	77.28%	23.35%
Avg Days To Max Increase		23	17	17	19	19	17	15	19	17	14	17
Avg Max Decline		-1.72%	-1.17%	-1.22%	-3.09%	-2.54%	-2.66%	-2.59%	-3.43%	-3.67%	-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		12	9	8	8	10	6	8	11	12	9	5
2020 Contract Condition		Yes	Yes	Yes				Yes	Yes	Yes		Yes
Action		Yes	Yes	Yes				Yes	Yes	Yes		Not Yet

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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		16	26	27	29	31	34	36	36	36	36	36
Closed Lower		6	13	12	15	13	9	10	16	17	14	14
Penetrated Low		6	11	7	9	4	5	6	10	12	9	7
Scenario Percentage		100%	85%	58%	60%	31%	56%	60%	63%	71%	64%	50%
Avg Max Decline		20.73%	14.94%	14.06%	13.62%	20.26%	9.88%	9.88%	10.61%	10.96%	9.64%	11.11%
Max Decline		39.95%	28.37%	26.11%	57.16%	53.94%	20.02%	23.01%	17.41%	32.55%	21.88%	18.20%
Avg Days To Max Decline		16	19	13	15	21	15	17	15	16	14	16
Avg Max Increase		-1.07%	-0.91%	-1.62%	-2.25%	-3.14%	-4.08%	-3.57%	-0.47%	-2.22%	-1.29%	-1.48%
Max Increase		-4.35%	-6.99%	-4.30%	-7.35%	-6.77%	-17.06%	-7.04%	-1.46%	-7.84%	-5.05%	-3.71%
Avg Days to Max Increase		6	6	5	5	20	12	16	4	6	4	4
2020 Contract Condition					Yes	Yes	Yes				Yes
Action					Yes	Yes	Yes				No
High	160.34	156.53	161.00	169.12	173.60	155.75	139.14	87.84	102.00	121.25	119.26	129.41
Low	143.32	143.29	151.67	152.72	144.29	128.90	62.15	60.02	72.25	98.62	106.14	108.60
Close/Last	146.74	150.27	153.59	164.64	145.08	130.32	75.04	77.04	101.13	110.41	110.06	121.37