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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November RBOB Gasoline(NYM) as of Jan 01, 2019
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   15 24 26 28 32 33 33 34 34 34 34
Closed Higher   9 13 12 17 23 24 16 15 21 21 17
Exceeded High   8 11 11 17 21 21 13 14 19 20 13
Scenario Percentage   89% 85% 92% 100% 91% 88% 81% 93% 90% 95% 76%
Avg Max Increase   10.47% 8.42% 10.14% 9.58% 10.20% 8.56% 7.54% 10.83% 13.34% 10.91% 7.67%
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   17 18 19 18 16 15 20 17 18 19 17
Avg Max Decline   -0.80% -1.01% -3.65% -2.32% -2.86% -2.16% -3.07% -3.24% -2.25% -4.32% -2.10%
Max Decline   -7.75% -7.21% -16.67% -14.14% -9.73% -9.50% -11.14% -16.10% -9.62% -14.50% -5.70%
Avg Days to Max Decline   10 9 9 10 5 7 11 10 8 13 2
2018 Contract Condition   Yes Yes Yes   Yes Yes Yes Yes   Yes Yes
Action   Yes Yes Yes   Yes Yes No 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   15 24 26 28 32 33 33 34 34 34 34
Closed Lower   6 11 14 11 9 9 17 19 13 13 17
Penetrated Low   5 6 9 3 5 5 11 13 8 6 13
Scenario Percentage   83% 55% 64% 27% 56% 56% 65% 68% 62% 46% 76%
Avg Max Decline   21.53% 15.69% 7.18% 8.67% 6.89% 10.38% 10.34% 9.89% 11.58% 19.51% 10.09%
Max Decline   28.08% 26.63% 14.77% 9.90% 11.81% 22.90% 17.26% 32.27% 24.70% 49.55% 42.21%
Avg Days To Max Decline   21 14 12 16 14 21 17 17 17 21 17
Avg Max Increase   -0.59% -0.61% -1.20% -1.42% -1.24% -3.88% -0.76% -2.59% -3.64% -1.58% -2.99%
Max Increase   -2.97% -4.68% -5.77% -4.80% -5.72% -6.99% -2.95% -8.77% -19.85% -3.97% -6.24%
Avg Days to Max Increase   2 6 4 11 12 12 7 9 12 6 5
2018 Contract Condition         Yes         Yes    
Action         No         No    
High 162.70 169.19 173.92 182.45 181.62 183.46 194.01 207.56 199.71 201.31 200.06 210.74
Low 150.73 162.10 163.64 172.76 162.01 164.82 173.89 186.19 183.49 183.52 184.02 191.30
Close/Last 162.63 166.95 173.87 179.61 170.07 180.84 191.99 198.60 199.11 193.82 197.79 208.57

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