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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December RBOB Gasoline(NYM) as of Jan 01, 2018
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   14 25 27 29 31 33 33 33 33 33 33
Closed Higher   7 10 16 19 21 15 14 21 18 18 17
Exceeded High   6 9 15 17 19 12 13 19 16 15 9
Scenario Percentage   86% 90% 94% 89% 90% 80% 93% 90% 89% 83% 53%
Avg Max Increase   9.32% 11.94% 9.22% 9.51% 8.55% 8.07% 10.57% 12.21% 10.93% 9.97% 7.91%
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   19 14 18 14 15 20 18 18 20 13 13
Avg Max Decline   -1.56% -2.99% -2.75% -3.11% -2.09% -3.12% -3.21% -2.11% -3.58% -2.70% -1.64%
Max Decline   -7.37% -17.20% -14.07% -9.08% -8.98% -10.81% -15.76% -9.35% -13.09% -14.62% -4.35%
Avg Days to Max Decline   7 7 11 5 7 14 10 8 10 6 2
2017 Contract Condition   Yes         Yes   Yes Yes Yes Yes
Action   Yes         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   14 25 27 29 31 33 33 33 33 33 33
Closed Lower   7 14 11 10 10 18 19 12 15 15 16
Penetrated Low   4 9 4 5 6 11 12 10 8 13 12
Scenario Percentage   57% 64% 36% 50% 60% 61% 63% 83% 53% 87% 75%
Avg Max Decline   18.66% 7.36% 11.23% 6.94% 9.48% 9.60% 9.84% 9.68% 17.72% 13.54% 12.72%
Max Decline   26.89% 14.31% 18.56% 11.96% 22.73% 17.58% 32.26% 25.87% 50.85% 59.61% 34.02%
Avg Days To Max Decline   11 13 20 14 19 17 17 17 16 14 19
Avg Max Increase   -2.61% -1.29% -2.28% -1.26% -3.29% -1.04% -2.57% -2.89% -1.38% -3.09% -3.98%
Max Increase   -4.70% -5.94% -4.95% -5.79% -6.97% -3.88% -8.91% -15.40% -3.78% -10.07% -15.19%
Avg Days to Max Increase   7 7 13 12 9 6 8 12 7 8 3
2017 Contract Condition     Yes Yes Yes Yes   Yes        
Action     Yes Yes Yes Yes   No        
High 151.03 162.07 165.08 156.76 152.96 155.05 149.74 143.38 150.33 153.78 165.03 174.94
Low 132.62 149.36 151.87 148.66 137.47 138.74 129.04 126.29 132.71 140.44 149.25 152.75
Close/Last 149.89 161.73 153.43 152.81 146.57 139.98 141.59 137.49 150.10 153.66 157.87 173.25

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