MRCI's ScenarioSM Study

ScenarioSM Study for November 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	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years		16	25	27	29	33	34	34	35	35	35	35
Closed Higher		9	13	13	18	24	25	16	16	22	21	18
Exceeded High		8	11	12	18	22	21	13	15	20	20	13
Scenario Percentage		89%	85%	92%	100%	92%	84%	81%	94%	91%	95%	72%
Avg Max Increase		10.47%	8.42%	10.60%	9.79%	10.17%	8.56%	7.54%	10.47%	12.93%	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%	-3.35%	-2.32%	-2.71%	-2.16%	-3.07%	-3.19%	-2.86%	-4.32%	-2.10%
Max Decline		-7.75%	-7.21%	-16.67%	-14.14%	-9.73%	-9.50%	-11.14%	-16.10%	-14.39%	-14.50%	-5.70%
Avg Days to Max Decline		10	9	9	9	5	7	11	9	8	13	2
2019 Contract Condition				Yes	Yes	Yes	Yes		Yes	Yes		Yes
Action				Yes	Yes	Yes	No		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	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years		16	25	27	29	33	34	34	35	35	35	35
Closed Lower		7	12	14	11	9	9	18	19	13	14	17
Penetrated Low		6	6	9	3	5	5	12	13	8	6	13
Scenario Percentage		86%	50%	64%	27%	56%	56%	67%	68%	62%	43%	76%
Avg Max Decline		19.92%	15.69%	7.18%	8.67%	6.89%	10.38%	10.00%	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	16	17	17	21	17
Avg Max Increase		-1.67%	-0.61%	-1.20%	-1.42%	-1.24%	-3.88%	-0.76%	-2.59%	-3.64%	-1.58%	-2.99%
Max Increase		-7.10%	-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		3	6	4	11	12	12	6	9	12	6	5
2019 Contract Condition		Yes	Yes					Yes			Yes
Action		Yes	No					Yes			No
High	209.68	177.87	156.43	152.07	162.64	167.95	181.50	178.47	168.27	174.75	165.08	175.26
Low	181.01	144.13	128.68	132.48	145.09	156.16	166.49	151.50	143.42	157.40	142.81	143.10
Close/Last	181.01	146.06	134.52	145.21	159.94	165.61	178.24	152.83	165.65	166.82	150.28	156.65