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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April RBOB Gasoline(NYM) as of Jan 01, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   9 19 22 25 29 29 30 30 30 30 30
Closed Higher   7 9 14 18 16 12 15 16 17 19 16
Exceeded High   6 7 13 15 14 10 10 13 17 16 15
Scenario Percentage   86% 78% 93% 83% 88% 83% 67% 81% 100% 84% 94%
Avg Max Increase   12.72% 9.82% 9.28% 10.46% 7.39% 7.34% 10.15% 13.52% 11.69% 13.57% 9.97%
Max Increase   28.83% 14.66% 27.24% 54.45% 28.85% 18.46% 17.20% 27.12% 33.52% 30.03% 24.67%
Avg Days To Max Increase   17 19 20 17 14 17 23 18 18 18 19
Avg Max Decline   0.16% -2.63% -1.85% -0.95% -1.19% -2.63% -2.33% -1.94% -1.81% -5.06% -3.25%
Max Decline   -2.21% -11.05% -11.95% -7.78% -8.21% -9.33% -5.20% -8.51% -9.66% -17.22% -10.79%
Avg Days to Max Decline   3 3 12 8 9 6 14 6 10 10 5
2015 Contract Condition   Yes Yes Yes               Yes
Action   Yes Yes No               Not Yet
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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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   9 19 22 25 29 29 30 30 30 30 30
Closed Lower   2 10 8 7 13 16 14 14 13 11 14
Penetrated Low   1 4 5 5 9 12 11 12 8 6 9
Scenario Percentage   50% 40% 63% 71% 69% 75% 79% 86% 62% 55% 64%
Avg Max Decline   19.72% 6.95% 6.86% 10.67% 13.83% 12.94% 15.43% 13.75% 14.97% 13.65% 6.30%
Max Decline   19.72% 9.25% 10.72% 23.96% 45.36% 51.97% 42.72% 29.87% 42.20% 36.09% 13.98%
Avg Days To Max Decline   21 17 19 21 16 16 17 18 18 10 13
Avg Max Increase   -0.10% -0.18% -3.34% -2.77% -1.35% -0.37% -2.00% -2.36% -3.60% -1.01% -1.85%
Max Increase   -0.10% -1.39% -8.35% -11.01% -10.38% -3.44% -6.20% -12.42% -11.22% -7.10% -5.94%
Avg Days to Max Increase   1 5 15 16 9 5 3 14 15 4 6
2015 Contract Condition         Yes Yes Yes Yes Yes Yes Yes  
Action         Yes Yes Yes Yes Yes Yes No  
High 279.31 280.89 282.60 294.64 291.02 280.76 275.47 262.87 238.58 210.04 173.99 198.93
Low 268.76 270.06 273.27 276.77 280.00 270.92 258.46 230.04 203.40 167.48 149.65 166.26
Close/Last 275.40 276.14 279.34 290.32 280.96 276.03 259.27 237.73 204.16 172.41 169.85 197.79

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