MRCI's ScenarioSM Study

ScenarioSM Study for November RBOB Gasoline(NYM) as of Jan 01, 2013
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years		9	18	20	22	26	27	27	28	28	28	28
Closed Higher		5	10	10	15	20	20	12	12	19	17	15
Exceeded High		4	9	9	15	18	17	10	12	17	17	11
Scenario Percentage		80%	90%	90%	100%	90%	85%	83%	100%	89%	100%	73%
Avg Max Increase		13.81%	9.52%	11.68%	10.40%	10.03%	9.01%	8.09%	11.32%	14.03%	10.74%	8.32%
Max Increase		20.71%	17.79%	21.12%	21.93%	28.31%	37.88%	14.84%	40.62%	71.91%	29.31%	15.24%
Avg Days To Max Increase		18	18	18	17	16	16	20	17	17	19	19
Avg Max Decline		-0.68%	-0.94%	-3.34%	-1.47%	-2.74%	-1.81%	-2.51%	-3.51%	-1.84%	-4.36%	-2.33%
Max Decline		-7.75%	-7.21%	-16.67%	-6.02%	-9.73%	-9.50%	-6.04%	-16.10%	-9.62%	-14.50%	-5.70%
Avg Days to Max Decline		13	10	10	8	6	8	12	11	8	12	2
2012 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	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years		9	18	20	22	26	27	27	28	28	28	28
Closed Lower		4	8	10	7	6	7	15	16	9	11	13
Penetrated Low		3	4	6	1	3	4	10	11	6	5	9
Scenario Percentage		75%	50%	60%	14%	50%	57%	67%	69%	67%	45%	69%
Avg Max Decline		19.26%	14.46%	6.55%	8.40%	6.51%	10.47%	9.65%	7.40%	10.69%	19.88%	11.47%
Max Decline		28.08%	26.63%	10.55%	8.40%	9.60%	22.90%	15.05%	17.36%	24.70%	49.55%	42.21%
Avg Days To Max Decline		24	15	15	17	21	21	16	15	14	20	17
Avg Max Increase		0.95%	-0.81%	-1.72%	0.33%	-0.27%	-3.10%	-0.54%	-2.88%	-4.87%	-1.85%	-2.66%
Max Increase		-2.56%	-4.68%	-5.77%	0.33%	-1.88%	-6.96%	-1.64%	-8.77%	-19.85%	-3.97%	-6.24%
Avg Days to Max Increase		4	8	4	2	16	9	6	10	14	7	4
2012 Contract Condition		Yes				Yes	Yes	Yes	Yes
Action		Yes				Yes	Yes	Yes	No
High	257.20	260.79	255.55	266.77	294.34	298.51	295.01	283.83	244.36	261.14	290.22	296.54
Low	229.16	239.27	239.12	257.95	266.27	287.37	278.80	243.52	218.15	230.64	251.57	270.29
Close/Last	250.80	249.17	249.88	265.52	288.78	287.40	282.94	244.42	236.47	253.16	288.45	292.01