MRCI's ScenarioSM Study

ScenarioSM Study for December RBOB Gasoline(NYM) as of Dec 30, 2016
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		13	24	26	28	30	32	32	32	32	32	32
Closed Higher		6	10	16	19	21	14	14	20	17	17	16
Exceeded High		5	9	15	17	19	11	13	18	15	14	8
Scenario Percentage		83%	90%	94%	89%	90%	79%	93%	90%	88%	82%	50%
Avg Max Increase		10.77%	11.94%	9.22%	9.51%	8.55%	8.25%	10.57%	12.33%	10.73%	9.50%	8.12%
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	18	14	15	19	18	17	19	14	14
Avg Max Decline		-1.42%	-2.99%	-2.75%	-3.11%	-2.09%	-2.42%	-3.21%	-1.87%	-3.63%	-2.66%	-1.85%
Max Decline		-7.37%	-17.20%	-14.07%	-9.08%	-8.98%	-5.66%	-15.76%	-9.35%	-13.09%	-14.62%	-4.35%
Avg Days to Max Decline		8	7	11	5	7	13	10	8	10	6	2
2016 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		13	24	26	28	30	32	32	32	32	32	32
Closed Lower		7	13	10	9	9	18	18	12	15	15	16
Penetrated Low		4	8	3	4	5	11	12	10	8	13	12
Scenario Percentage		57%	62%	30%	44%	56%	61%	67%	83%	53%	87%	75%
Avg Max Decline		18.66%	6.98%	11.62%	5.68%	9.42%	9.60%	9.84%	9.68%	17.72%	13.54%	12.72%
Max Decline		26.89%	14.31%	18.56%	9.10%	22.73%	17.58%	32.26%	25.87%	50.85%	59.61%	34.02%
Avg Days To Max Decline		11	13	22	16	19	17	17	17	16	14	19
Avg Max Increase		-2.61%	-1.18%	-3.00%	-0.13%	-2.55%	-1.04%	-2.57%	-2.89%	-1.38%	-3.09%	-3.98%
Max Increase		-4.70%	-5.94%	-4.95%	-2.10%	-6.92%	-3.88%	-8.91%	-15.40%	-3.78%	-10.07%	-15.19%
Avg Days to Max Increase		7	8	17	12	6	6	8	12	7	8	3
2016 Contract Condition		Yes	Yes	Yes				Yes	Yes			Yes
Action		Yes	Yes	No				Yes	Yes			Yes
High	148.84	138.40	129.86	114.14	126.97	137.65	143.29	146.54	141.14	141.84	143.66	151.73
Low	129.30	118.07	98.88	97.15	110.85	113.49	124.95	132.79	118.35	118.00	125.50	141.05
Close/Last	133.79	125.34	113.38	113.09	121.47	136.25	140.39	137.76	122.14	131.32	143.46	141.95