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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   14 23 25 27 31 32 32 33 33 33 33
Closed Higher   8 12 11 17 22 23 15 14 21 20 16
Exceeded High   7 10 10 17 20 20 13 13 19 19 12
Scenario Percentage   88% 83% 91% 100% 91% 87% 87% 93% 90% 95% 75%
Avg Max Increase   10.64% 8.76% 10.94% 9.58% 9.97% 8.58% 7.54% 11.58% 13.34% 11.03% 8.05%
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   16 17 18 18 16 15 20 18 18 20 19
Avg Max Decline   -0.63% -1.04% -3.03% -2.32% -2.81% -2.12% -3.07% -3.26% -2.25% -4.37% -2.25%
Max Decline   -7.75% -7.21% -16.67% -14.14% -9.73% -9.50% -11.14% -16.10% -9.62% -14.50% -5.70%
Avg Days to Max Decline   9 9 9 10 5 7 11 10 8 13 2
2017 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   14 23 25 27 31 32 32 33 33 33 33
Closed Lower   6 11 14 10 9 9 17 19 12 13 17
Penetrated Low   5 6 9 3 5 5 11 13 8 6 13
Scenario Percentage   83% 55% 64% 30% 56% 56% 65% 68% 67% 46% 76%
Avg Max Decline   21.53% 15.69% 7.18% 8.67% 6.89% 10.38% 10.34% 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 17 17 17 21 17
Avg Max Increase   -0.59% -0.61% -1.20% -1.42% -1.24% -3.88% -0.76% -2.59% -3.64% -1.58% -2.99%
Max Increase   -2.97% -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   2 6 4 11 12 12 7 9 12 6 5
2017 Contract Condition       Yes Yes Yes Yes   Yes     Yes
Action       Yes Yes Yes Yes   No     Yes
High 153.76 151.20 163.64 166.89 158.68 155.01 157.23 151.40 145.10 152.91 160.76 168.22
Low 145.26 134.79 152.13 153.94 151.52 139.97 140.58 131.17 127.36 134.20 142.30 154.30
Close/Last 145.26 151.20 163.64 155.51 155.35 148.73 141.51 143.33 138.79 152.66 160.58 159.10

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