MRCI's ScenarioSM Study

ScenarioSM Study for December 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	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct
Tested Years		9	20	22	24	26	28	28	28	28	28	28
Closed Higher		5	9	14	17	18	12	12	19	15	16	15
Exceeded High		5	8	13	15	16	9	12	17	14	13	7
Scenario Percentage		100%	89%	93%	88%	89%	75%	100%	89%	93%	81%	47%
Avg Max Increase		10.77%	12.93%	10.13%	9.54%	8.97%	8.90%	10.27%	12.76%	10.39%	9.16%	8.24%
Max Increase		17.43%	22.03%	21.85%	27.32%	35.93%	15.46%	33.82%	68.80%	31.54%	21.87%	16.31%
Avg Days To Max Increase		22	14	17	14	15	20	17	17	19	15	16
Avg Max Decline		-1.42%	-3.32%	-1.84%	-3.05%	-1.78%	-2.56%	-3.46%	-1.71%	-3.57%	-2.74%	-1.80%
Max Decline		-7.37%	-17.20%	-5.42%	-9.08%	-8.98%	-5.66%	-15.76%	-9.35%	-13.09%	-14.62%	-4.35%
Avg Days to Max Decline		8	7	9	5	8	16	11	8	11	4	2
2012 Contract Condition		Yes	Yes	Yes					Yes	Yes
Action		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	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct
Tested Years		9	20	22	24	26	28	28	28	28	28	28
Closed Lower		4	10	8	7	8	16	16	9	13	12	13
Penetrated Low		2	6	2	3	5	10	10	7	7	10	9
Scenario Percentage		50%	60%	25%	43%	63%	63%	63%	78%	54%	83%	69%
Avg Max Decline		19.05%	6.79%	13.76%	6.55%	9.42%	8.80%	7.14%	9.17%	17.54%	13.94%	13.89%
Max Decline		26.89%	11.17%	18.56%	9.10%	22.73%	13.77%	16.11%	25.87%	50.85%	59.61%	34.02%
Avg Days To Max Decline		12	15	24	21	19	16	18	16	16	13	20
Avg Max Increase		-3.33%	-1.58%	-2.03%	-0.25%	-2.55%	-0.83%	-2.87%	-4.00%	-1.57%	-2.42%	-3.44%
Max Increase		-4.70%	-5.94%	-4.19%	-2.10%	-6.92%	-3.88%	-8.91%	-15.40%	-3.78%	-6.53%	-8.54%
Avg Days to Max Increase		12	10	10	16	6	5	9	15	8	5	3
2012 Contract Condition					Yes	Yes	Yes	Yes			Yes	Yes
Action					Yes	Yes	Yes	No			Yes	Yes
High	261.70	255.41	267.06	291.40	295.88	292.95	282.24	243.66	258.76	285.31	289.54	286.20
Low	238.30	236.21	251.80	262.09	284.22	277.23	241.84	217.26	228.96	248.43	264.01	255.98
Close/Last	248.11	248.14	263.28	285.79	284.94	281.16	242.89	235.42	250.28	282.80	279.20	263.03