MRCI's ScenarioSM Study

ScenarioSM Study for December RBOB Gasoline(NYM) as of Jan 01, 2015
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		11	22	24	26	28	30	30	30	30	30	30
Closed Higher		6	10	15	18	19	13	14	20	16	16	15
Exceeded High		5	9	14	16	17	10	13	18	14	13	7
Scenario Percentage		83%	90%	93%	89%	89%	77%	93%	90%	88%	81%	47%
Avg Max Increase		10.77%	11.94%	9.59%	8.98%	8.91%	8.63%	10.57%	12.33%	10.39%	9.05%	8.04%
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	13	16	20	18	17	19	14	13
Avg Max Decline		-1.42%	-2.99%	-1.94%	-2.89%	-1.75%	-2.44%	-3.21%	-1.87%	-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	10	5	8	15	10	8	11	4	2
2014 Contract Condition		Yes		Yes		Yes	Yes	Yes
Action		No		Yes		Yes	Yes	No

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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		11	22	24	26	28	30	30	30	30	30	30
Closed Lower		5	11	9	8	9	17	16	10	14	14	15
Penetrated Low		2	7	3	4	5	10	10	8	8	12	11
Scenario Percentage		40%	64%	33%	50%	56%	59%	63%	80%	57%	86%	73%
Avg Max Decline		19.05%	5.93%	11.62%	5.68%	9.42%	8.80%	7.14%	9.17%	17.72%	13.37%	11.32%
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	13	22	16	19	16	18	17	16	13	15
Avg Max Increase		-3.33%	-1.44%	-3.00%	-0.13%	-2.55%	-0.83%	-2.87%	-3.55%	-1.38%	-2.50%	-2.96%
Max Increase		-4.70%	-5.94%	-4.95%	-2.10%	-6.92%	-3.88%	-8.91%	-15.40%	-3.78%	-6.53%	-8.54%
Avg Days to Max Increase		12	9	17	12	6	5	9	14	7	6	3
2014 Contract Condition			Yes		Yes				Yes	Yes	Yes	Yes
Action			Yes		Yes				Yes	Yes	Yes	Yes
High	260.21	264.81	258.71	262.24	265.74	266.98	268.67	281.10	276.30	262.13	256.64	244.00
Low	244.81	254.64	247.38	245.99	252.26	251.49	256.99	260.88	259.70	248.61	237.34	207.76
Close/Last	256.79	259.71	247.81	260.08	259.50	260.33	264.55	275.49	261.12	256.47	238.83	214.78